沪市A股收益率研究

发布时间：2018-06-17 10:35

本文选题：三因子模型 + 股票流动性　；参考：《宁波大学》2012年硕士论文

【摘要】：资产定价是金融学的核心问题之一，其在资产配置和风险控制方面发挥着重要作用。传统的资产定价模型（CAPM）自提出以来受到广泛关注。但是在实证研究上表现并不理想。在理性定价的框架下，Fama和French提出包括规模、账面市值比与市场风险的三因子模型，这一模型对股票市场具有较好的解释力。传统CAPM模型假定投资者交易证券对资产价格不产生影响。这一假设忽略了现实证券市场的流动性风险，将流动性引入资产定价模型具有重要意义。本文采用2006年1月～2010年12月的沪市A股股票数据，以公司规模、账面市值比和流动性分组构造投资组合，利用CAPM模型、三因子模型和加入股票流动性的四因子模型对组合的超额收益进行实证检验。结果表明：沪市A股市场存在规模溢价、账面市值比溢价和流动性溢价现象；市场风险对股票收益率的解释力有所加强；加入股票流动性的四因子模型比CAPM模型、三因子模型拟合度更高；改进的Amihud非流动性指标和换手率都能较好地刻画流动性。由于金融时间序列数据存在尖峰厚尾特征，而分位数回归方法能够描述数据的局部信息在近来金融问题的研究上得到了广泛的运用。本文运用分位数回归方法，选取Beta系数、公司规模、账面市值比、改进的Amihud非流动性指标和换手率为风险因子，研究沪市A股截面收益率。研究认为：在不同分位数下风险因子的回归系数与显著性有很大差异，，表明股票收益率在不同分位数上有不同的依赖形式；分位数间差异显著性检验表明不同分位数间风险因子回归系数差异统计上显著。
[Abstract]:Asset pricing is one of the core problems in finance, which plays an important role in asset allocation and risk control. The traditional asset pricing model (CAPMM) has received wide attention since it was put forward. But in the empirical research performance is not ideal. In the framework of rational pricing, Fama and French put forward a three-factor model, which includes scale, book market value ratio and market risk, which has a good explanatory power for the stock market. The traditional CAPM model assumes that investors' trading of securities has no effect on asset prices. This hypothesis ignores the liquidity risk in the real securities market, and it is of great significance to introduce liquidity into the asset pricing model. In this paper, A share stock data of Shanghai Stock Exchange from January 2006 to December 2010 are used to construct a portfolio based on company size, book market value ratio and liquidity grouping. The three-factor model and the four-factor model with stock liquidity are used to test the excess return of portfolio. The results show that there is a scale premium, book market value premium and liquidity premium in A-share market of Shanghai stock market; the explanatory power of market risk to stock yield is strengthened; the four-factor model of stock liquidity is more powerful than market value model. The improved Amihud illiquidity index and turnover rate can well describe the liquidity. Because the financial time series data have the characteristic of peak and thick tail, the quantile regression method can describe the local information of the data and has been widely used in the research of financial problems recently. In this paper, using the quantile regression method, we select Beta coefficient, company size, book market value ratio, improved Amihud illiquidity index and turnover rate as risk factors to study the yield of A-share section in Shanghai stock market. The results show that the regression coefficient of risk factors is different from that of significance under different quantiles, which indicates that stock returns have different forms of dependence on different quantiles. The significant test of quantile difference showed that the difference of regression coefficient of risk factors among different quantiles was statistically significant.
【学位授予单位】：宁波大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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