基于货币的资产定价模型实证检验及不同定价模型的对比研究

发布时间：2018-01-13 18:44

本文关键词：基于货币的资产定价模型实证检验及不同定价模型的对比研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：在研究影响中国资产收益的重要因素时,宏观因子特别是货币因于是不能被忽略的,因此,本文在CAPM模型(CAPM)、FF三因素模型(FF3)、Carhart四因素模型(Carhart)基础上,加入了消费资本资产定价模型(C-CAPM)、基于货币的CAPM模型(MCAPM)和基于货币的C-CAPM模型(MC-CAPM),采用沪深股市2000年7月到2013年12月的数据和LNS(2009)建议的评判标准,采用Fama-MacBeth回归、HJ-distance检验、Wald检验等方法,从因子的风险溢价、模型的拟合程度和定价误差以及风险溢价的稳定性等维度对这6个模型进行了评价分析,由于股改因素的影响和不同市场自身的特点,本文对样本区间进行了时间和空间维度的划分,以2006年12月为分界点进行了分时间段检验以及对沪市和深市分别进行了分市场检验,通过对比这6个模型,本文一方面是为了检验MCAPM和MC-CAPM在中国的适用性,另一方面是为了找出适用于中国的定价模型,从而为投资者进行资产配置和价值投资提供一些参考,也为相关宏观政策的制定者提供一些参考。本文通过实证分析发现,很难找到适用于所有时间段和市场的模型。对于整个市场和沪市而言,虽然FF3表现较好且FF3中的规模因子和价值因子总体是被定价的,但是因子表现并不是很稳定,此外,FF3中可能遗漏了一些变量,而货币因子可以对FF3不能解释的部分进行解释；从HJ-distance定价误差的角度,MCAPM表现相对较好,说明货币因子的加入可以降低定价误差。对于深市而言,MCAPM模型在各个维度均表现较好,因此,MCAPM更加适用于深市,这可能与投资者在持有货币增加时更倾向于投资市值较小的股票以获取高收益有关。因此,货币因子是一个值得考虑和研究的宏观风险因子来源,具备一定的解释力度,且MCAPM可以作为定价的参考模型之一。而央行可以通过实际货币的供给来调控市场。
[Abstract]:In the study of the important factors affecting asset returns in China, macro factors, especially currency, can not be ignored. Therefore, this paper presents a three-factor model of CAPM / CAPM / FF / FF3). On the basis of Carhart four-factor model, C-CAPM is added to the pricing model of consumer capital assets. The CAPM model based on currency and the C-CAPM model based on currency. According to the data of Shanghai and Shenzhen stock markets from July 2000 to December 2013 and the criteria suggested by LNS2009, Fama-MacBeth regression is adopted. HJ-distance test with Wald test and other methods from the risk premium factor. The fitting degree and pricing error of the model and the stability of the risk premium are evaluated and analyzed. Due to the influence of the stock reform factors and the characteristics of the different markets. In this paper, the sample interval is divided into time and space dimensions, taking December 2006 as the dividing point, and the Shanghai and Shenzhen stock markets are tested respectively. By comparing these six models, on the one hand, this paper is to test the applicability of MCAPM and MC-CAPM in China, on the other hand, to find out the pricing model suitable for China. In order to provide some reference for investors in asset allocation and value investment, but also for the relevant macroeconomic policy makers to provide some reference. It is difficult to find a model applicable to all time periods and markets. For the whole market and Shanghai stock market, although FF3 performs well and the scale factor and value factor in FF3 are priced overall. But the factor performance is not very stable, in addition, FF3 may be missing some variables, while the monetary factor can explain the part of FF3 can not explain; From the angle of HJ-distance pricing error, the performance of MCAPM is relatively good, which indicates that the addition of monetary factor can reduce the pricing error. The MCAPM model performs well in each dimension, so it is more suitable for deep market. This may be related to the fact that investors tend to invest in the smaller stock of market value in order to obtain high yield when holding more money. Therefore, the monetary factor is a source of macro risk factors worthy of consideration and study. There is a certain degree of explanation, and MCAPM can be used as one of the reference models for pricing, while the central bank can regulate the market through the supply of real money.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【相似文献】