我国创业板市场Fama-French三因子模型研究

发布时间：2018-09-11 18:40

【摘要】：金融资产定价不仅是金融学理论研究的焦点,也一直受到实务界的密切关注。在资产定价理论的发展中,经典的Fama-French三因子模型认为股票收益的变动可由市场风险、规模和账面市值比三个因素来解释,该模型得到了广泛的认可,针对我国股票市场的相关研究已有较多的积累,但针对创业板市场三因子模型的研究成果尚不够丰富,尤其是在我国经济进入新常态发展期后,科技创新和产业结构变革的战略意义进一步凸显,创业板市场在新的历史时期应发挥更重要的作用。在这一背景下,三因子模型在我国创业板是否适用,仍然是一个值得继续研究的问题。最近一两年来,国内学者发现,对我国股市而言,FF五因子模型的解释力不如三因子模型,本论文运用三因子模型针对创业板市场进行分析,以我国2010年-2016年期间的创业板股票作为研究对象,基于FF三因子模型将组合和个股相结合进行适用性的实证分析,在此基础上选取不同的样本时长进一步分析,讨论随着创业板市场的不断发展,三因子模型在创业板市场上的适用性如何变化。最后,从金融实务的角度,本文讨论了基于三因子模型的创业板市场投资策略,包括构造α策略、β策略的基本思路。本论文主要发现是:(1)FF三因子模型对我国创业板市场有较强的解释力,且优于CAPM模型,全样本段和分时间段的分析均支持这一结论;(2)在三个因子中,账面市值比因子的解释力在大盘股股票和小盘股股票之间存在显著差异,这一因子更适于解释小盘股的收益波动,但相对不适于解释大盘股的收益波动,出现这一结果的原因值得后续更深入的研究;(3)随着时间的推移,三因子模型在我国创业板的适用性在不断增强,侧面说明我国创业板市场在不断发展和完善;对比不同样本时长的研究结果,三因子模型在我国创业板总体上呈现长期数据比短期数据更适用的趋势;(4)FF三因子模型无法完全解释创业板股票收益的变化:在FF三因子模型和CAPM模型的实证研究中,模型常数项均显著不等于0,说明除了三因子模型所涉及的三个因子外,仍有未被发现的其他变量。
[Abstract]:Financial asset pricing is not only the focus of financial theory research, but also has been paid close attention to. In the development of asset pricing theory, the classical Fama-French three-factor model holds that the change of stock returns can be explained by three factors: market risk, scale and book / market value ratio. There has been a lot of research on the stock market of our country, but the research results of the three-factor model of the gem market are not rich enough, especially after China's economy enters the new normal period of development. The strategic significance of scientific and technological innovation and industrial structure reform is further highlighted, and the gem market should play a more important role in the new historical period. Under this background, whether the three-factor model is applicable in the gem of our country is still a question worthy of further study. In the last one or two years, domestic scholars have found that the explanatory power of the FF five-factor model is not as good as that of the three-factor model for China's stock market. This paper uses the three-factor model to analyze the gem market. Taking the gem stock of our country from 2010 to 2016 as the research object, based on the FF three-factor model to combine the combination and the individual stock to carry on the empirical analysis, on this basis selects the different sample time to analyze further, With the development of the gem market, the applicability of the three-factor model in the gem market is discussed. Finally, from the perspective of financial practice, this paper discusses the investment strategy of gem based on three-factor model, including the basic ideas of constructing 伪 strategy and 尾 strategy. The main findings of this paper are as follows: (1) the FF three-factor model has a strong explanatory power to the gem market in China, and it is superior to the CAPM model. The analysis of the whole sample segment and the time period supports this conclusion; (2) among the three factors, The explanatory power of the book to market ratio factor is significantly different between large-cap stocks and small-cap stocks. This factor is more suitable to explain the volatility of earnings of small-cap stocks, but it is relatively unsuitable to explain the volatility of earnings of large-cap stocks. The reasons for this result are worthy of further study; (3) with the passage of time, the applicability of the three-factor model in the gem is increasing, which shows that the gem market of our country is constantly developing and improving; Comparing the results of the study with different sample duration, The three-factor model shows a trend that long-term data is more suitable than short-term data in general; (4) FF three-factor model can not fully explain the change of gem stock returns: in the empirical study of FF three-factor model and CAPM model, All the constant terms of the model are significantly different from 0, which indicates that there are still other variables which have not been found except the three factors involved in the three-factor model.
【学位授予单位】：上海外国语大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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