估测中国市场风险溢价的方法研究

发布时间：2018-03-31 09:18

本文选题：中国市场风险溢价　切入点：无风险收益率　出处：《华南理工大学》2013年硕士论文

【摘要】：市场风险溢价（Market Risk Premium，简称MRP）是金融理论的核心模型——资本资产定价模型（CAPM）中重要的参数之一，它的大小影响资本成本的大小，并对投资决策等活动产生直接影响。然而，在国内外的理论研究和实际应用中，MRP的取值差别很大，如Fernandez（2011）研究美国不同领域的人员使用的MRP，结果表明：在2010年教授使用的MRP平均值为6.0%，分析人员使用的平均值为5.1%，，公司使用的平均值为5.3%；Fernandez（2012）研究82个国家的学者们在2012年使用的MRP，我国学者使用的MRP离散程度非常高，仅次于巴西，取值在3.9%-30.0%之间。由此可见，不同人员使用的MRP存在很大的差别。因此，找出MRP产生差异的原因，分析影响MRP的因素，以及选择一种有效并且适合我国的估测方法，得到我国的MRP，对企业进行业绩评价、价值评估和投资决策等都具有重要意义。本文首先针对MRP和系统风险的关系找出影响MRP的因素；然后通过统计文献和访谈的方法分别调查我国理论研究和实际操作中使用的无风险收益率，并围绕无风险资产的特点对备选资产进行分析，确定我国无风险资产的代表；同时结合我国股票市场的特点，对估测MRP常用的四种方法进行对比分析，选出适合我国的估测方法并改进；最后根据改进方法的逻辑步骤估测我国的MRP。在确定无风险收益率时，根据无风险资产的特点确定我国无风险资产的代表为记账式国债，并基于对短期和长期收益率比较的基础上，选择一年期记账式国债到期收益率作为无风险收益率的代表，得到我国无风险收益率为3.60%。在选取合适的估测方法时，发现问卷调查法和横向调整法在我国的适用性不强；而历史性方法和前瞻性方法可以通过改进适用于我国。因此，结合我国股票市场的特点对历史性方法估测时段的选取进行改进，对前瞻性方法市场组合的选择进行改进，并归纳出逻辑步骤。运用两种方法的逻辑步骤估测得出我国的MRP分别为6.09%和7.07%，并对MRP的影响因素进行分析，确定估测结果不受影响。进一步对两种方法的应用过程对比分析认为：在目前我国股票市场的条件下，两种方法相辅相成，估测的结果可相互补充；但随着股票市场的不断发展、股利政策的不断完善，前瞻性方法得到的结果用以表示投资者要求的MRP更为合理。
[Abstract]:Market Risk Premium (MRP) is one of the most important parameters in the capital asset pricing model, which is the core model of financial theory. Its size affects the cost of capital and has a direct impact on the investment decision and other activities. The value of MRP is very different in the theoretical research and practical application at home and abroad. For example, the MRP used by researchers in different fields of the United States was studied in January 2011. The results show that in 2010, professors used an average of 6.0, analysts used an average of 5.1, and companies used an average of 5.3Fernandez.) in 2012, scholars from 82 countries studied. The dispersion of MRP used by Chinese scholars is very high. Second only to Brazil, the value is between 3.9% and 30.0%. It can be seen that there are great differences in the MRP used by different people. Therefore, find out the reasons for the difference in MRP, analyze the factors that affect MRP, and choose an effective and suitable estimation method for our country. It is of great significance to get MRP of our country, such as performance evaluation, value evaluation and investment decision. In this paper, we first find out the factors that influence the relationship between MRP and system risk, and then investigate the risk-free rate of return used in theoretical research and practical operation in China by means of statistical literature and interviews. According to the characteristics of the risk-free assets, the author analyzes the alternative assets and determines the representative of the risk-free assets in China. At the same time, combined with the characteristics of the stock market in China, the paper makes a comparative analysis of the four methods commonly used to estimate the MRP. The estimation method suitable for our country is selected and improved. Finally, the MRP of our country is estimated according to the logical steps of the improved method. In determining the risk-free rate of return, according to the characteristics of risk-free assets, the representative of China's risk-free assets is accounting treasury bonds, and on the basis of the comparison of short-term and long-term rates of return, Choosing the maturity rate of one-year bookkeeping treasury bonds as the representative of risk-free rate of return, the risk-free rate of return is 3.60%. When we select the appropriate estimation method, we find that the applicability of questionnaire survey method and lateral adjustment method is not strong in our country. Historical methods and forward-looking methods can be applied to China through improvement. Therefore, according to the characteristics of China's stock market, the selection of historical methods to estimate the period of time is improved, and the choice of market combination of forward-looking methods is improved. The MRP of China is estimated to be 6.09% and 7.07, respectively, and the influencing factors of MRP are analyzed to ensure that the estimated results are not affected. Furthermore, the comparative analysis of the application process of the two methods shows that the two methods complement each other under the current conditions of the stock market in China, and the estimated results can complement each other; however, with the continuous development of the stock market, With the improvement of dividend policy, the result of forward-looking method is more reasonable for investors to demand MRP.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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