基于修正CAPM的中国股票市场横截面研究
发布时间：2018-07-26 17:57
【摘要】：有效市场假说(EMH)认为,一个有效的市场总能立即充分、准确地反映所有的信息。但是大量实证研究发现,现实的金融市场并不是这样的,对违背有效市场假说(EMH)和传统的资本资产定价模型(CAPM)的现象,我们称其为“异常”,这也正反映出传统的方法在模型构建和估计方法上存在着问题。因此,合理分析“异常”现象,从而找到适合现实金融市场的资本资产定价方式是一个非常值得关注的重要研究方向。 本文针对出现“异常”现象的核心原因——模型的构建问题和传统的回归方法的缺陷进行了详细分析,并由此提出了基于换手率的多因素模型,同时针对传统回归方法的缺陷,将分位数回归方法运用到股票截面收益率的研究中。本文的创新之处如下： 首先,在Fama和French(1993)的三因素模型的基础上,引入换手率作为一个新的解释变量,得到基于换手率的多因素模型。通过针对我国深市A股的实证分析,发现换手率与截面收益率的相关性为正,而且相比其他解释变量更加显著。 其次,用Koenker和Bassett(1978)提出的分位数回归方法代替传统的均值回归方法,更适应现实的复杂金融市场,分位数回归方法不仅可以研究在均值处风险因子对截面收益率的影响,而且还可以研究在收益率的条件分布上其它任何一点处风险因子对截面收益率的影响,这就使得研究更加全面完整。
[Abstract]:The efficient Market hypothesis (EMH) argues that an efficient market always reflects all information in a sufficient and accurate manner. However, a large number of empirical studies have found that this is not the case in real financial markets. We call this phenomenon "abnormal" when it goes against the efficient Market hypothesis (EMH) and the traditional capital asset pricing model (CAPM). This also reflects the problems of traditional methods in model building and estimation. Therefore, it is an important research direction to analyze the phenomenon of "anomaly" reasonably and find the capital asset pricing method suitable for the real financial market. In this paper, the core cause of "abnormal" phenomenon, the construction of the model and the defects of the traditional regression method, are analyzed in detail, and the multi-factor model based on the turnover rate is put forward, and the defects of the traditional regression method are also pointed out. The quantile regression method is applied to the research of stock cross section return. The innovations of this paper are as follows: firstly, based on the three-factor model of Fama and French (1993), the turnover rate is introduced as a new explanatory variable, and the multi-factor model based on the turnover rate is obtained. Based on the empirical analysis of A-shares in Shenzhen Stock Exchange, it is found that the correlation between turnover rate and cross-section return is positive, and it is more significant than other explanatory variables. Secondly, using the quantile regression method proposed by Koenker and Bassett (1978) to replace the traditional mean regression method, it is more suitable for the complex financial market. The quantile regression method can not only study the effect of risk factors at the mean value on the cross-section return. Moreover, we can study the effect of risk factors on the cross-section return rate at any other point in the conditional distribution of the return rate, which makes the research more comprehensive and complete.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
本文编号：2146840
[Abstract]:The efficient Market hypothesis (EMH) argues that an efficient market always reflects all information in a sufficient and accurate manner. However, a large number of empirical studies have found that this is not the case in real financial markets. We call this phenomenon "abnormal" when it goes against the efficient Market hypothesis (EMH) and the traditional capital asset pricing model (CAPM). This also reflects the problems of traditional methods in model building and estimation. Therefore, it is an important research direction to analyze the phenomenon of "anomaly" reasonably and find the capital asset pricing method suitable for the real financial market. In this paper, the core cause of "abnormal" phenomenon, the construction of the model and the defects of the traditional regression method, are analyzed in detail, and the multi-factor model based on the turnover rate is put forward, and the defects of the traditional regression method are also pointed out. The quantile regression method is applied to the research of stock cross section return. The innovations of this paper are as follows: firstly, based on the three-factor model of Fama and French (1993), the turnover rate is introduced as a new explanatory variable, and the multi-factor model based on the turnover rate is obtained. Based on the empirical analysis of A-shares in Shenzhen Stock Exchange, it is found that the correlation between turnover rate and cross-section return is positive, and it is more significant than other explanatory variables. Secondly, using the quantile regression method proposed by Koenker and Bassett (1978) to replace the traditional mean regression method, it is more suitable for the complex financial market. The quantile regression method can not only study the effect of risk factors at the mean value on the cross-section return. Moreover, we can study the effect of risk factors on the cross-section return rate at any other point in the conditional distribution of the return rate, which makes the research more comprehensive and complete.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
【引证文献】
相关硕士学位论文 前1条
1 周鑫;资本资产定价模型及其扩展模型的实证比较研究[D];贵州财经大学;2013年
，本文编号：2146840
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