Fama-French模型及其流动性修正模型在我国创业板的适用性研究

发布时间：2018-04-04 22:28

本文选题：Fama-French模型　切入点：创业板市场　出处：《天津大学》2014年硕士论文

【摘要】：2009年深圳创业板推出以来,承载着经济结构调整,促进中小企业和创新型企业发展重任的创业板至今已运行了近5年的时间。创业板市场运行初期IPO估值合理性等问题引起了资本市场的广泛关注。我国股市主板市场自受2008年金融危机影响以来持续低迷,而在这样大盘环境不景气的情况下创业板近年来跑赢大盘,对于这样一个科技含量高、成长潜力大且投资风险也比较的大新兴市场而言,对其定价机制进行研究无疑具有深远的意义。本文选取创业板市场为研究对象,对在主板市场中应用比较广泛的Fama-French三因素模型进行在创业板的适用性研究,并同时对创业板中的主要行业进行了模型的适用性研究。鉴于对这一新兴市场流动性定价的研究还比较少,本文还对流动性是否影响创业板定价问题进行分析,并通过在原始模型中添加流动性溢价因子构造拓展模型,并将拓展模型与原模型回归结果进行对比,借此探讨创业板市场适用的定价模型。本文运用实证研究方法,利用各模型对创业板市场按规模和账面市值比分组和按流动性分组的股票进行回归分析和对比,主要结论为:(1)创业板市场溢价显著,CAPM基本适用;(2)三因素模型基本适用于我国创业板市场,我国创业板市场市场溢价和规模溢价明显,市场显现出一定的B/P溢价,但不及规模溢价明显;(3)FF模型在行业的适用性差异明显,其不适用于传媒行业,而对电气设备、电子、化工、机械设备四个行业而言,市场、规模和账面市值比溢价均明显,FF模型适用,但是计算机和医药生物行业的账面市值比溢价不明显,剔除此因子的二因子模型更适用。(4)利用修正的Amihud非流动性指标作为流动性的衡量尺度发现创业板存在流动性溢价,但是流动性溢价和规模溢价具有较高的相关度,在各行业适用的模型中添加流动性因子或用流动性因子替换规模因子均不能提升其在各行业的解释力度,说明创业板中规模因子是比流动性因子更重要的定价因素。
[Abstract]:Since the launch of the Shenzhen growth Enterprise Market in 2009, the gem, which carries the adjustment of economic structure and promotes the development of small and medium-sized enterprises and innovative enterprises, has been running for nearly five years.The rationality of IPO valuation in the initial stage of gem market has aroused widespread concern in the capital market.Since the impact of the 2008 financial crisis, the main market of China's stock market has continued to be depressed. However, under such a depressed market environment, the gem has outperformed the market in recent years, for such a high scientific and technological content.For the big emerging market which has great growth potential and investment risk, it is of great significance to study its pricing mechanism.This paper selects the gem market as the research object, studies the applicability of the Fama-French three-factor model, which is widely used in the main board market, and studies the applicability of the model to the main industries in the gem.In view of the lack of research on liquidity pricing in this emerging market, this paper also analyzes whether liquidity affects gem pricing, and constructs an extended model by adding liquidity premium factor to the original model.The results of the extended model and the original model are compared to explore the applicable pricing model of the gem market.In this paper, the empirical research method is used to analyze and compare the growth Enterprise Market (gem) stocks in terms of size and volume ratio of market value and liquidity.The main conclusions are as follows: (1) the gem market premium is significant and CAPM is basically applicable to the gem market. The three-factor model is basically applicable to the gem market in China. The market premium and the scale premium of the gem market in China are obvious, and the market shows a certain B / P premium.However, the applicability of the model is obviously different from that of the scale premium. It is not suitable for the media industry, but for the four industries of electrical equipment, electronics, chemical industry and mechanical equipment, the market.Both the scale and the book market value premium are obviously applicable to the FF model, but the book size and the book price premium in the computer and pharmaceutical biology industries are not obvious.The two-factor model excluding this factor is more suitable. 4) using the modified Amihud illiquidity index as a measure of liquidity, we find that there is a liquidity premium on the gem, but the liquidity premium and the scale premium have a high correlation.The addition of liquidity factor or the replacement of scale factor with liquidity factor in each industry model can not enhance its interpretation in various industries, which indicates that scale factor is more important than liquidity factor in the pricing factor of gem.
【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;F279.2

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