投资机会变动与风险收益关系实证研究

发布时间：2018-01-04 10:09

本文关键词：投资机会变动与风险收益关系实证研究　出处：《管理科学》2012年04期 　论文类型：期刊论文

【摘要】：应用跨期资本资产定价模型研究股市投资机会变动时的风险收益关系和跨期风险对冲策略。以25个规模-账面市值比组合以及扩展组合作为检验资产,以经济、情绪和市场指标作为状态变量反映投资机会,以DCC-MVGARCH方法估计的资产超额收益与市场超额收益的条件协方差衡量市场风险,以DCC-MVGARCH方法估计的资产超额收益与状态变量新息的条件协方差衡量跨期风险,应用面板回归方法检验资产超额收益与风险的关系。研究结果表明,在单状态变量中,货币供应增长率、房地产投资增长率、宏观经济景气指数、规模溢价等新息降低,投资机会出现不利变动,与这些新息负相关的资产能对冲投资机会的不利变动;存贷差增长率、利率、股市波动等新息增加时,投资机会出现不利变动,与这些新息正相关的资产能对冲投资机会的不利变动;各模型具有良好的解释能力,其中规模溢价、股市波动和货币供应的解释能力较高。还对多状态变量进行检验、比较,并提供了相应投资策略。
[Abstract]:This paper applies the intertemporal capital asset pricing model to study the risk-return relationship and the intertemporal risk hedging strategy when the investment opportunity changes in the stock market. The 25 scale-book market value ratio portfolio and the extended portfolio are used as the test assets. Economic, emotional and market indicators are used as state variables to reflect investment opportunities, and the conditional covariance between asset excess return and market excess return estimated by DCC-MVGARCH method is used to measure market risk. The conditional covariance of asset excess return and state variable innovation estimated by DCC-MVGARCH method is used to measure the intertemporal risk. The panel regression method is used to test the relationship between excess return and risk. The results show that the money supply growth rate, real estate investment growth rate and macroeconomic boom index are among the single state variables. When the scale premium and other innovations decrease, the investment opportunities change unfavorable, and the assets negatively related to these innovations can hedge against the adverse changes of the investment opportunities. When the growth rate of deposit and loan gap, interest rate and stock market fluctuation increase, there will be adverse changes in investment opportunities, and the assets positively related to these innovations will be able to hedge against the adverse changes in investment opportunities; The models have good explanatory ability, among which scale premium, stock market volatility and money supply have higher explanatory power. The multi-state variables are tested, compared, and the corresponding investment strategies are provided.
【作者单位】：中山大学岭南学院;
【基金】：国家自然科学基金(70532003)~~
【分类号】：F830.91;F224
【正文快照】： 1引言金融学家一直关注资产风险与收益间的权衡关系,该关系对投资组合优化、资产超额收益预测和波动率建模具有重要的学术意义和实践意义。资本资产定价模型(capital asset pricing model,CAPM)是现代资产定价理论的基础,在CAPM的理论框架中,投资者通过构造投资组合可以分散

【参考文献】