上证行业指数收益率的影响因素——基于三因素模型的分位数回归分析

发布时间：2018-01-21 01:29

本文关键词： 股票市场行业指数回报率 Fama-French三因素模型分位数回归　出处：《金融理论与实践》2012年10期 　论文类型：期刊论文

【摘要】：Fama and French(1993)提出的三因素模型对许多国家的股市收益率有良好的解释力并得到广泛应用。我们在三因素模型的基础上,利用分位数回归技术全面考察三因素对上证行业指数收益率的影响。实证结果表明:(1)在各个分位点上,市场因子对五类行业指数均有显著的正向影响;(2)规模因子对五个行业指数的影响方向不同,其中对综合指数和地产指数具有显著的负向影响,而对其他三类指数具有显著的正向影响;(3)账面市值因子对五个行业指数的影响方向也不同,其中对综合指数和公用指数具有负向影响,对工业指数和商业指数具有正向影响,对地产指数既有正向影响又有负向影响,同时在部分分位点上,账面市值因子对五个行业指数的影响不显著。
[Abstract]:The three-factor model proposed by Fama and French 1993 has good explanatory power to the stock market returns in many countries and has been widely used. We base on the three-factor model. The effect of three factors on the return rate of Shanghai industry index is investigated by quantile regression technique. The empirical results show that the market factors have a significant positive effect on the five industry indices at each sub-locus. (2) the influence direction of scale factor on five industry indexes is different, among them, it has significant negative influence on composite index and real estate index, but has significant positive influence on the other three kinds of index; 3) the paper market value factor has different influence direction on the five industry indexes, among them, it has a negative effect on the composite index and public index, and a positive influence on the industrial index and the business index. It has both positive and negative effects on the real estate index. At the same time, the paper market value factor has no significant effect on the five industry indices in some loci.
【作者单位】：厦门大学统计系;
【基金】：国家社科基金项目“非参数空间计量经济模型及应用研究”(10CTJ002) 中央高校基本科研业务经费项目“动态时变特征的空间计量模型及其在中国地方政府财税策略互动中的应用”(ZK1021)的部分研究成果
【分类号】：F224;F832.51
【正文快照】： 一、引言证券资产定价问题始终是金融领域的核心问题。目前国内已有大量文献对股票收益率的决定机制进行分析,但对行业指数收益率的分析则较少。为了弥补文献的不足,同时也考虑到影响个股收益的因素多种多样,其随机性一般较大,从行业层面分析因其具有平均效应可使分析结论具

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