沪深A股主板市场Fama-French五因子模型实证研究

发布时间：2018-01-21 06:33

本文关键词： Fama-French五因子模型资产定价效应投资组合　出处：《内蒙古大学》2017年硕士论文　论文类型：学位论文

【摘要】：中国证券市场成立以来,市场管理者不断规范市场的相关制度,股票投资者的投资理念和策略也在不断发展,影响投资者行为和股票收益率的因素也在不断变化和日益复杂。研究股权分置改革后的证券市场的影响因素对发挥证券市场的融资、定价和资源配置功能具有深远的意义。本文选取了沪深A股主板市场2005年5月至2016年10月,共138个月的行情数据及财务数据作为研究对象,以Fama-French五因子模型为基础,按照有效市场假说采用新方法构建了五因子,利用Famma-French方法构建了投资组合。通过3组5x5投资组合和3组3x3x3投资组合对沪深A股主板市场的相关效应进行了经验性分析,并对五因子进行了描述统计和相关性分析。然后对3组5x5投资组合利用回归模型进行了回归诊断,按照诊断结果对五因子模型进行了实证分析。最后通过3组5x5投资组合的GRS检验找出当前适合沪深A股主板市场的因子模型。研究发现,中国证券市场存在着规模效应、盈利效应和投资效应,其中规模效应十分显著,盈利效应和投资效应在某种分组中显著,中国股市还存在着一定的反价值效应和反投资效应。构建出的市场因子、规模因子、价值因子、盈利因子和投资因子对股票收益率有一定的解释能力;含有市场因子、规模因子、价值因子和投资因子的四因子模型更适合股权分置改革后的中国证券市场。
[Abstract]:Since the establishment of China's securities market, market managers have constantly regulated the relevant systems of the market, and the investment concepts and strategies of stock investors have also been developing. The factors that affect investor behavior and stock yield are also changing and becoming more and more complex. Study on the influence factors of the stock market after the reform of the split share structure on the financing of the securities market. Pricing and resource allocation are of far-reaching significance. This paper selects 138 months of market data and financial data from May 2005 to October 2016 of Shanghai and Shenzhen A-share main Board market as the research object. Based on the Fama-French five-factor model, the five-factor model is constructed according to the efficient market hypothesis using a new method. Using the Famma-French method to construct the investment portfolio. Through three groups of 5x5 portfolio and three groups of 3x3x3 investment portfolio to Shanghai and Shenzhen A-share motherboard market related effects were analyzed empirically. Then three groups of 5x5 portfolio were diagnosed by regression model. Finally, through the GRS test of three groups of 5x5 portfolio to find out the current factor model suitable for Shanghai and Shenzhen A-share motherboard market. There are scale effect, profit effect and investment effect in Chinese stock market, in which scale effect is very significant, profit effect and investment effect are significant in some grouping. The market factor, the scale factor, the value factor, the profit factor and the investment factor have the certain explanation ability to the stock return rate, and the market factor, the scale factor, the value factor, the profit factor and the investment factor also have the certain counter-value effect and the anti-investment effect. The four-factor model with market factor, scale factor, value factor and investment factor is more suitable for China's stock market after the split share structure reform.
【学位授予单位】：内蒙古大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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