股票非预期收益定价的三因素模型研究——基于中国股票市场的检验

发布时间：2018-03-21 09:15

本文选题：股票非预期收益　切入点：非预期会计收益　出处：《系统工程理论与实践》2014年03期 　论文类型：期刊论文

【摘要】：本文建立了股票非预期收益三因素定价模型,三因素包括:当期非预期会计收益与期初股票价格之比(反映价值相关性~([1])),分析师盈余预测修正变量(反映会计收益增长预期),以及市场非预期收益(URM)变量.在此基础上,本文建立了多变量回归模型,并采用2002年1月至2011年3月间中国股票市场的有关交易数据、机构收益预测数据和财务数据,来检验理论模型和实证模型的预测,发现:1)三因素模型框架可以精确地解释股票非预期收益,模型的截距项接近于零,调整R~2为52%;2)非预期市场收益(URM)吸收了账面市值比对股票非预期收益的解释能力;3)存在证券分析师偏向乐观的盈余预测,并且,基于证券分析师盈余的当期盈余预测修正变量对股票非预期收益具有显著的解释能力.
[Abstract]:In this paper, a three-factor pricing model for unanticipated stock returns is established. The three factors include: the ratio of current unanticipated accounting income to the stock price at the beginning of the period (reflecting the value correlation ([1]), the revised variable of the analyst's earnings forecast (reflecting the expected increase in accounting income, and the market unanticipated return) variable.) on this basis, In this paper, a multivariate regression model is established to test the theoretical model and empirical model by using the relevant trading data, institutional income forecast data and financial data from January 2002 to March 2011 in China stock market. It is found that the three-factor model framework can accurately explain the unexpected return of the stock, and the intercept term of the model is close to zero. Readjusting RG-2 to 52 / 2) unanticipated market returns (URM)) absorbs the paper market value's ability to explain the unanticipated returns of stocks [3] there are stock analysts who tend to be optimistic about their earnings forecasts, and, The correction variable of the current earnings forecast based on the earnings of the securities analysts has a significant explanatory power to the unanticipated return of the stock.
【作者单位】：贵州财经大学科研处;
【基金】：国家自然科学基金(71232004,71061003)
【分类号】：F224;F832.51

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