基于债券风险暴露与下端风险的A股价值溢价实证研究

发布时间：2018-02-28 08:42

本文关键词： 债券风险暴露下端风险价值溢价　出处：《暨南大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文采用最新数据运用描述性统计、混合回归及面板数据模型对价值溢价在我国A股市场的存在性及其原因进行实证研究。通过以账面市值比为依据构建价值股投资组合与成长股投资组合，本文对市场组合及风险度量方式进行重新考察：将债券收益纳入市场组合以考虑投资者的债券风险暴露；采用半方差作为风险衡量的依据，关注下端风险，，使风险评估更加符合投资者实际心理感受及行为金融理论。并考察经上述调整后模型对A股价值溢价现象的解释情况。研究发现，经典CAPM模型框架下我国A股市场过去十年表现出明显的价值溢价现象，这一现象通过引入随时间变动的β值并不能够消除。在对市场组合进行债券波动调整后，模型的整体解释能力有所提升，对于价值组合与成长整合的收益波动解释也体现出差异，但仍然不能完全解释价值溢价现象。在改进风险衡量标准后，模型对不同投资组合收益率均有更好的解释，一定程度上在模型框架内给出了价值溢价的原因。实证结果表明价值溢价现象在一定程度上是由于模型设定与实际市场状况有所偏差造成的，通过考虑下端风险能显著提升模型对价值溢价的解释能力。而在市场组合中引入债券收益波动未能显著解释A股价值溢价现象可能是由于债券指数构建方法偏差、我国证券市场市场化不足、不同市场发展不平衡且相互分离导致的。
[Abstract]:This paper uses the latest data to use descriptive statistics, The mixed regression and panel data model are used to study the existence of value premium in A-share market and its causes. Based on the book market value ratio, the paper constructs the portfolio of value stocks and growth stocks. In this paper, the market portfolio and risk measurement methods are re-examined: the bond yield is incorporated into the market portfolio to consider investors' exposure to bond risk, and the semi-variance is used as the basis of risk measurement, and the lower end risk is concerned. Make the risk assessment more in line with the actual psychological feelings of investors and behavioral financial theory, and examine the above adjusted model to explain the A-share value premium phenomenon. It is found that in the framework of the classical CAPM model, the A-share market in China has shown an obvious value premium phenomenon in the past ten years, which can not be eliminated by introducing the 尾 value over time. The overall interpretation ability of the model has been improved, and the interpretation of the return fluctuation of the integration of value combination and growth also reflects the difference, but still can not fully explain the value premium phenomenon. The model has better explanation for the return of different portfolio, and to some extent gives the reason of the value premium in the framework of the model. The empirical results show that the value premium phenomenon is partly due to the deviation between the model setting and the actual market conditions. Considering the lower end risk can significantly improve the explanatory ability of the model to the value premium, but the introduction of bond yield volatility in the market portfolio can not explain the A-share value premium phenomenon, which may be due to the deviation of the bond index construction method. The market of our country's securities market is insufficient, the development of different markets is unbalanced and separate from each other.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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