融资约束对资产定价的影响研究

发布时间：2018-02-04 22:01

本文关键词： 融资约束资产定价股票收益率 F-F三因素模型投资组合　出处：《湖南大学》2013年硕士论文　论文类型：学位论文

【摘要】：资产定价一直是金融界和财务界关注的主要课题之一。Sharp（1964）等人提出的资本资产定价模型（CAPM）成为现代金融理论的奠基石。随后，学者们对CAPM进行了改良和扩展，如：跨期资本资产定价模型、套利模型、期权定价模型。这些模型为研究股票收益率的影响因素提供了良好的理论基础。80年代以来，传统的CAPM受到了来自各种异象的挑战，如规模、账面市值比、反转效应等，这些异象难以用CAPM解释，并且它们能够对股票收益率产生影响。目前学者们还在不断探索影响股票收益率的各种因素，以期为降低上市公司的股权融资成本和提高投资者投资决策的准确度提供帮助。融资约束是在信息不对称等理论下被提出的，它表示公司内外融资成本的差异程度。融资约束程度越高，会影响公司对外筹集资金的能力。融资约束是否通过资本市场的定价功能对企业产生影响已被国外学者所关注。本文尝试着利用我国沪深A股市场2003-2010年的数据，研究融资约束是否能够影响对股票收益率，从而证明融资约束能否成为资产定价的一个因素。首先，本文选择了三种指标作为融资约束的度量指标，在投资组合的基础上，通过描述性统计和t检验，验证了融资约束我国存在于我国上市公司。其次，本文中还将融资约束因子加入F-F三因素模型扩展为四因素模型，并将四因素模型分别与CAPM、F-F三因素模型进行比较，实证结果表明加入融资约束因子后的模型对股票收益率的解释能力增强了，并且，融资约束程度越高，股票收益率越大。最后，本文验证了融资约束能够独立地对资产定价产生影响。总之，本文通过实证证明了融资约束能够作为资产定价的一个因素，为从企业基本面角度研究我国金融风险的形成机理提供有益的视角，，并为缓解我国上市公司融资约束提供相关建议。
[Abstract]:Asset pricing has always been one of the major topics of concern in finance and finance. The capital asset pricing model (CAPMM) put forward by the others has become the cornerstone of modern financial theory. Scholars have improved and extended CAPM, such as: intertemporal capital asset pricing model, arbitrage model. Option pricing models. These models provide a good theoretical basis for the study of the factors affecting stock returns. Since the 1980s, the traditional CAPM has been challenged by various visions, such as scale. Book market value ratio, reverse effect and so on, these anomalies are difficult to explain with CAPM, and they can influence the stock yield. At present, scholars are still exploring various factors that affect the stock yield. In order to reduce the cost of equity financing of listed companies and improve the accuracy of investors' investment decisions. Financing constraint is put forward under the theory of information asymmetry, which indicates the degree of difference of financing cost inside and outside the company. The higher the degree of financing constraint is, the higher the degree of financing constraint is. It will affect the ability of the company to raise funds from the outside. Whether the financing constraint has influence on the enterprise through the pricing function of the capital market has been concerned by foreign scholars. This paper tries to use the Shanghai and Shenzhen A share market in China in 2003-2. Data for 2010. This paper studies whether the financing constraint can affect the stock yield and proves whether the financing constraint can be a factor in asset pricing. Firstly, this paper chooses three kinds of indicators as the measure of financing constraint. On the basis of portfolio, through descriptive statistics and t-test, we verify the existence of financing constraints in China's listed companies. Secondly. In this paper, the financing constraint factor added into the F-F three-factor model is extended to the four-factor model, and the four-factor model is compared with the CAPMF-F three-factor model. The empirical results show that the model with financing constraint factor can explain the stock return more effectively, and the higher the degree of financing constraint, the greater the stock return. Finally. This paper verifies that financing constraints can have an independent impact on asset pricing. In a word, this paper proves that financing constraints can be used as a factor of asset pricing. It provides a useful angle of view to study the formation mechanism of financial risk in China from the angle of enterprise fundamentals, and provides relevant suggestions for alleviating the financing constraints of listed companies in China.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F231;F832.51

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