三因素模型的改进及其在深圳证券市场的实证研究

发布时间：2018-01-12 18:02

本文关键词：三因素模型的改进及其在深圳证券市场的实证研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：在Fama和French1992年发表的“预期股票收益率的横截面研究”一文中,他们通过研究美国股票市场1929年至1963年股票价格的异常波动,发现在美国股票市场上市场风险p与股票平均收益率之间缺乏明显的正向线性关系；而且当β不变时,股票规模与其平均收益率成反比；当规模不变时,市场风险p与股票平均收益率无关,价值与股票平均收益率成正比。中国股票市场由于发展特点和市场环境完全不同于西方股票市场,因此以西方自由市场经济为基础的现代金融理论能否适用于中国的现实?随着资产定价理论研究的深入,我国学者对Fama和French的模型在国内证券市场的适用性进行了检验,但由于样本及数据的差异造成实证结果不一,对于此模型是否适用于国内股票市场,目前学术界还存在着较多争议。近年来我国多层次资本市场体系的建设取得了重大成果,这也深刻影响了我国股市的内在运行结构。在此背景下,本文在总结国外资产定价理论及发展方向的基础上,采用FF的方法和模型对深圳证券市场2006年1月到2011年12月的股票平均收益率进行回归分析,以检验FF的结论是否适用于深圳证券市场。研究结果表明,在深圳市场股票平均收益率的变动中的确存在规模和价值效应,即公司规模与股票的平均收益率呈现负相关关系,而公司的账面市场价值比与股票的平均收益率呈现正相关关系。但市场风险因素p、规模因素以及价值因素仍不能完全解释深圳市场股票的平均收益率变动。考虑到目前国内市场流通股与非流通股依然并存,而流通股比重在一定程度上反映了公司产权结构和经营效率,因此上市企业的流通市值占比可能对股票收益率具有解释力。本文通过引入流通市值占比指标,对标准的FF三因素模型做了改进,并进行了实证检验,结果表明,相比FF三因素模型,改进后的模型在拟合优度上有一定提高,同时流通市值占比的确能够解释深圳证券市场股票收益率,并且模型提高了接受股票收益率被完全解释的可能性。
[Abstract]:In Fama and French1992 in the year published in the expected return on the cross-section of the stock study. By studying the abnormal fluctuation of stock price in American stock market from 1929 to 1963, they found that there is no obvious positive linear relationship between market risk p and average stock yield in American stock market. And when 尾 is constant, the stock size is inversely proportional to its average return. When the scale is constant, the market risk p has nothing to do with the stock average return, and the value is directly proportional to the stock average return. Because the development characteristics and market environment of Chinese stock market are completely different from those of western stock market, can the modern financial theory based on western free market economy be applicable to the reality of China? With the further study of asset pricing theory, Chinese scholars have tested the applicability of Fama and French models in domestic securities market, but the empirical results are different due to the difference of samples and data. There are still many controversies about whether this model is suitable for domestic stock market. In recent years, great achievements have been made in the construction of multi-level capital market system in China, which has also profoundly affected the internal operating structure of China's stock market. This paper summarizes the foreign asset pricing theory and development direction on the basis of. This paper uses FF method and model to analyze the average return rate of Shenzhen stock market from January 2006 to December 2011. In order to test whether FF's conclusion is applicable to Shenzhen stock market, the research results show that there is a scale and value effect in the change of average return rate of stock in Shenzhen market. That is, the size of the company is negatively correlated with the average return of the stock, while the book value ratio of the company is positively correlated with the average return of the stock, but the market risk factor p. The scale factor and the value factor still cannot explain the Shenzhen stock average yield movement completely. Considering that the current domestic market tradable shares and non-tradable shares still coexist, and the proportion of tradable shares to a certain extent reflects the structure of the company's property rights and operational efficiency. Therefore, the market value share of listed enterprises may have an explanatory power on the stock yield. This paper improves the standard FF three-factor model by introducing the market value ratio index, and carries out an empirical test. The results show that compared with FF three-factor model, the improved model can improve the goodness of fit, and the ratio of market value to market value can indeed explain the stock yield in Shenzhen stock market. And the model increases the possibility of accepting that the stock return rate is fully explained.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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