行业因素对股票收益特征的影响及定价研究

发布时间：2018-01-09 01:05

本文关键词：行业因素对股票收益特征的影响及定价研究　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：首先,本文考察行业分类对股票收益特征的影响。以2008年1月到2011年12月的A股公司为研究对象,利用面板回归方法,借助理论模型对行业分类是否影响股票收益特征进行研究,检验股票收益的规模、账面市值比和动量特征是否存在行业效应以及行业分类对股票收益特征的影响是否存在月份效应。研究发现,对于中国股票市场,除了在3月份,行业分类影响账面市值比效应,而在其他月份,行业分类对股票收益特征没有影响;另外,研究发现行业分类对股票收益的账面市值比效应的影响存在“3月效应”,但是,把所有月份作为一个整体来看时,行业分类对账面市值比效应仍没有影响。因此,可以初步判定规模、账面市值比以及动量效应都与行业分类无关,股票收益特征不存在行业效应,也就是说,行业分类对规模、账面市值比及动量效应都没有影响。该研究结果为探讨行业因素参与定价的能力提供了初步前提。其次,为了进一步分析行业与股票收益特征的关系,本文研究了股票收益特征的溢价关于行业的对称性。以2008年1月到2011年12月的A股公司为研究样本,运用面板回归的方法,检验了股票收益特征的溢价对高于行业公司特征平均值和低于行业公司特征平均值的公司是否具有对称性。研究发现,对于中国股票市场,规模和账面市值比的溢价对于低于和高于行业平均水平的公司来讲是对称的;而动量溢价表现出非对性现象,这意味着动量溢价对低于和高于行业平均水平的公司来讲是存在非对称性的。最后,分析行业因素对股票收益的影响,探究行业因素参与定价的能力。以2007年1月到2011年12月为研究样本,分别在四因子模型和三因子模型的基础上,利用面板回归及主成分分析方法,研究行业因素参与资产定价的能力。研究结果发现,行业因素影响股票收益,但是,在四因子模型的基础上,提取的行业公共因子没有表现出显著的风险溢价;而在三因子模型的基础上,提取的行业公共因子则表现出显著的风险溢价,因此,最后建立了基于三因子模型的含有行业因子的多因素资产定价模型。
[Abstract]:First, this paper examines the impact of industry classification on stock return characteristics. From January 2008 to December 2011, A shares of the company as the research object, using the panel regression method, classification with the help of the theory model of industry affect the stock returns characteristics of test scale of stock returns, the book market ratio and whether there is momentum characteristics of month effect influence effect of industry and industry classification on stock return characteristics. The study found that the China stock market, except in March, the industry classification effect of book to market effect, but in the other months, industry classification has no effect on the stock return characteristics; in addition, the study found that the industry classification of the stock return book to market effect exist in March however, the effect, all month as a whole, the industry classification value than the effect still did not have influence on the book, so, You can determine the initial size of the book market ratio and the momentum effect has nothing with the industry, there is no industry effect of stock return characteristics, that is to say, the industry classification of the scale, did not affect the book market ratio and momentum effect. The results of this study provide a preliminary premise to industry factors and pricing ability parameters. Secondly, in order to further analysis of the industry and the stock return characteristics, this paper studies the symmetry characteristics of stock return premium on industry. From January 2008 to December 2011 of A shares of the company as the research sample, using panel regression method, to examine whether the average stock return characteristics of premium for the company is higher than the industry average and lower than the industry characteristics of firm characteristics the company has symmetry. The study found that the China stock market, size and book to market premium for lower and higher than the industry average water Flat company is symmetric; while the momentum showed on premium phenomenon, which means that the momentum premium is asymmetric to lower and higher than the industry average level of the company. Finally, analysis of the impact of industry factors on stock returns, the ability to explore industry factors involved in pricing from January 2007 to December 2011. The research sample, respectively, based on four factor model and three factor model, using panel regression and principal component analysis method, capacity of industry factors involved in asset pricing. The results of the study showed that industry factors that affect the stock return, but based on four factor model, extraction industry showed no significant common factor the risk premium; and based on three factor model, the extraction of industry public factor showed a significant risk premium, therefore, finally established based on three with sub model Multi factor asset pricing model for industry factors.

【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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