关于基本面指数在中国股市的实证探索

发布时间：2018-04-10 06:11

本文选题：基本面指数　切入点：平滑市值加权　出处：《上海交通大学》2012年硕士论文

【摘要】：目前，全世界的主流市场标杆指数以市值加权。但是股票在指数中所占权重也随着股价被高估而变大，被低估而变小，从而造成了市值加权指数所特有的“收益率拖累”。基于此，在噪声市场假设下，市值加权被证明为次优的。自从2005年，Arnott率先提出通过会计信息估计的公司基本面规模来编制市场指数，基本面指数这一个全新的概念引起了广泛的研究和探讨，期望可以通过这样的指数编制思想获得比市值加权指数更加科学合理的“市场资产组合”。基本面指数编制的基本想法在于对指数成分股的基本面权重进行估计而不是估计其股票具有的内在价值。在本文中，我们基于基本面指数存在超额收益的理论基础上，主要对两种基本面指数的编制方法在中国A股市场上进行了实证研究。其一是通过其会计信息诸如所有者权益账面价值、营业收入、营业现金流和股利来筛选股票和确定权重从而编制指数，其二是通过不同时间窗宽的平滑市值加权来编制指数。通过对比传统的市值加权标杆指数，如沪深300，我们对各个建立起来的基本面指数的收益性、风险性、稳健性进行了综合的分析。并通过Fama-French三因子模型进一步分析基本面指数的超额收益率来源是否具有“规模倾斜”或者“价值倾斜”。本文的实证结果显示，，在中国A股市场，通过平滑市值加权的基本面指数在研究期间2005年至2011年期间确实优于市值加权的标杆指数并保持了良好的稳健性。但是，对于采用会计信息编制的基本面指数，我们发现其整体表现并不理想，甚至于有个别指数明显落后于市值加权指数，从而并不是那么适合中国市场。
[Abstract]:At present, the world's mainstream market benchmark index weighted by market value.But the weight of stocks in the index also increases with the overvaluation of the stock price and is undervalued and smaller, resulting in the "yield drag" characteristic of the market value weighted index.Based on this, under the noise market hypothesis, market value weighted proved to be suboptimal.Since Arnott first proposed to compile the market index by estimating the fundamental scale of the company through accounting information in 2005, the new concept of fundamental index has aroused extensive research and discussion.The author expects to obtain a more scientific and reasonable market asset portfolio than market value's weighted index through such an index compilation idea.The basic idea of compiling the fundamental index is to estimate the fundamental weight of the index component rather than to estimate the intrinsic value of its stock.In this paper, based on the theory of the existence of excess return on the fundamental index, we mainly make an empirical study on the two methods of compiling the fundamental index in the A-share market of China.One is to select stocks and determine weights through accounting information such as book value of owners' equity, operating income, operating cash flow and dividend, and the other is to compile the index by using smooth market value weighted with different time windows.By comparing the traditional market value weighted benchmark index, such as Shanghai and Shenzhen 300, we make a comprehensive analysis of the profitability, risk and robustness of each established fundamental index.The Fama-French three-factor model is used to further analyze whether the excess return source of the fundamental index has "scale tilt" or "value tilt".The empirical results show that in the A-share market of China, the fundamental index weighted by smooth market value is better than the benchmarking index weighted by market value during the study period from 2005 to 2011 and maintains good robustness.However, for the fundamental index compiled by accounting information, we find that its overall performance is not ideal, and even some indexes lag behind market value's weighted index, so it is not so suitable for Chinese market.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【参考文献】