三因素模型在股改前后解释力的比较研究

发布时间：2018-11-29 13:28

【摘要】：自2005年4月29日中国证监会颁布《关于上市公司股权分置改革试点有关问题的通知》，股权分置改革正式启动，股改的主要目的之一就是提升我国资本市场效率性。股改已有6年之余，大小非解禁已基本结束，在投资更加理性，在市场有效性增强的情况下，股改前后三因素模型解释力变化情况如何，也适时为我们所比较。本文首先对股改前后资本市场总体特征变化认识的基础上，发现了股改后资本市场状况有很好的改善，然后对股改前后反应三因素模型解释力的收益特征进行比较分析，通过对1995年7月到2011年6时间沪深两市所有A股，分别按照贝塔、市值、账面市值比各分为10个分组，比较股改前后按贝塔、市值、账面市值比分组的特征收益变化，结果发现：股改前，按照不同的特征分组，ME效应和BM效应表现有所不同；股改后，无论按照什么特征进行分组，BM效应和ME效应都存在。通过对收益特征的进一步分析，结果发现：股改后相对于股改前市场风险对收益解释度增加，账面市值比对收益解释度减小，规模对收益解释度增加。此外，本文还通过三因素模型在股改前后的拟合情况来比较其解释力变化。首先，对包含了规模效应、账面市值比效应和信息率的25个组合进行了描述性统计，然后根据股改前后模型回归结果的各个因子以及与市场整体拟合情况的变化来比较股改前后解释力变化。结果发现：规模效应和价值效应相对于股改前更加明显，，股改前后三因素模型25个组合截距项都无异于0，可决系数R2从股改前0.6左右提升到股改后0.9左右，风险因子、规模因子和账面市值比因子显著个数都有所增加；通过Chow检验进一步验证了股改前后三因素模型的解释力发生了结构性变化。
[Abstract]:Since April 29, 2005, CSRC has promulgated the notice on the issues related to the pilot reform of the split share structure of listed companies. The reform of the split share structure has been officially started. One of the main purposes of the reform is to improve the efficiency of China's capital market. The stock reform has been over for more than six years, and the non-lifting of the prohibition has basically ended. In the case of more rational investment and enhanced market efficiency, the changes in the explanatory power of the three-factor model before and after the stock reform are also timely compared by us. Based on the understanding of the changes in the overall characteristics of the capital market before and after the stock reform, this paper finds that the situation of the capital market has been well improved after the stock reform, and then compares and analyzes the income characteristics of the explanatory power of the three-factor model of the reaction before and after the stock reform. From July 1995 to June 2011, all A-shares in Shanghai and Shenzhen stock markets were divided into 10 groups according to beta, market value and book to market value ratio, respectively. The characteristic income changes of beta, market value and book to market ratio groups were compared before and after the stock reform. The results showed that the ME effect and the BM effect were different according to different characteristics before the stock reform. After stock reform, BM effect and ME effect exist no matter according to any characteristics. Through the further analysis of the income characteristics, it is found that the market risk after the stock reform increases the explanatory degree of the income, the ratio of book to market value decreases, and the scale increases the interpretation of the return. In addition, the three-factor model is used to compare the change of explanatory power before and after the stock reform. First of all, 25 combinations including scale effect, book to market value effect and information rate are analyzed. Then, according to the factors of the regression results before and after the stock reform and the changes of the overall market fit, the changes of the explanatory power before and after the stock reform are compared. The results show that the scale effect and value effect are more obvious than those before and after the stock reform. The 25 combination intercept terms of the three-factor model before and after the stock reform are all equal to zero, and the resolution coefficient R2 is raised from 0.6 to 0.9 after the reform. The significant number of risk factors, scale factors and book to market value factors have increased; Chow test further verifies the structural changes of the explanatory power of the three-factor model before and after the stock reform.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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