异质信念与中国股市收益分析

发布时间：2018-01-19 00:00

本文关键词： 异质信念分析师盈利预测股票收益　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：现代资产定价理论认为投资者的投资都是理性的,并且假设投资者对于风险资产的风险收益是具有相同预期的。但是,各种金融异象以及理论研究表明,这个假设是无法成立的,在这个假设的前提下无法解释很多资产定价的问题,比如金融泡沫等风险资产的系统性高估。直到Miller在1977年将异质信念和卖空限制结合,提出在卖空限制的情况下,乐观投资者愿意付出高价将股票从悲观投资者手中买入,从而造成股价的高估。但是随着信息的更新,分歧收窄,未来的收益降低,股价高估得到修正。本文延续了Miller的思想,在研究中国的资本市场时首次尝试使用了分析师的盈利分歧作为异质信念的代理变量,并讨论了使用该指标作为异质信念代理指标的优点以及可行性。在模型部分中,发展了张维(2006)提出的模型,并在此基础上进行实证。实证的方法基于Fama (1996)以及Diether(2002)使用的因素模型,研究了盈利分歧与盈利分歧之后股票的收益情况,发现当股票的盈利分歧越高,股票下期收益率越低。并提出这样的一个股票走势特征可以作为一个获得alpha收益的策略,这样的一个alpha策略在-定时间内是比较稳定的。另外,本文还研究了分析师预测分歧的变化与超额收益的关系,认为分析师的预测分歧增大时,股票能够获得相对于市场的超额收益,并且分歧值变化是超额收益的格兰杰原因。综合以上的研究结论提出了对于投资者的投资建议以及对于监管层的政策建议,以及自己研究存在的局限和未来继续研究的发展方向。
[Abstract]:Modern asset pricing theory holds that investors' investment is rational and assumes that investors have the same expectation of risk return on risky assets. However, various financial anomalies and theoretical studies show that. This assumption is not true, in the premise of this assumption can not explain a lot of asset pricing problems. For example, the systemic overvaluation of risky assets such as financial bubbles. Until 1977, Miller combined heterogeneous beliefs with short selling restrictions and proposed the case of short selling restrictions. Optimists are willing to pay high prices to buy stocks from pessimistic investors, resulting in overvaluation. But as information updates, divisions narrow, future earnings fall, and overvaluation is corrected. In this paper, we continue the idea of Miller, and try to use the profit divergence of analysts as proxy variables of heterogeneous beliefs in the study of China's capital market for the first time. The advantages and feasibility of using this index as a proxy index for heterogeneous beliefs are discussed. In the part of the model, the model proposed by Zhang Wei / 2006 is developed. The empirical method is based on the factor models used by Fama / 1996 and Diether / 2002). After studying the profit difference and profit difference, it is found that the higher the profit difference is, the higher the profit difference is. The lower the stock yield in the next period, the lower the stock trend characteristics can be used as a strategy to obtain alpha returns. Such a alpha strategy is more stable in a fixed time. In addition, this paper studies the relationship between the variation of analyst's forecast divergence and the excess return, and thinks that when the analyst's forecast divergence increases, the paper also studies the relationship between the variation of the analyst's forecast divergence and the excess return. Stocks are able to achieve excess returns relative to the market, and the variation of divergence values is the Granger cause of excess returns. Based on the above conclusions, the paper puts forward the investment suggestions for investors and the policy recommendations for the regulatory level, as well as the limitations of their own research and the future development direction of further research.
【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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