引入资产收益的股票市场定价模型

发布时间：2018-01-02 03:10

本文关键词：引入资产收益的股票市场定价模型　出处：《厦门大学》2014年硕士论文　论文类型：学位论文

【摘要】：基于个体行为的模型逐渐流行起来,在金融市场研究方面的运用十分广泛。本文建立了一个新型的基于投资者行为的股票市场模型。一般认为股票价格是围绕基础价值波动的,对资产价格的重要影响是来自于基础价值的变动,表现为资产收益(每股净利润)的分布变动。考虑资产收益对资产定价的影响十分必要。本文在LeBaron(2012)的模型基础上,新增考虑了资产收益这一资产属性,并通过“市盈率”这一变量指标纳入分析框架。模拟的结果较好地拟合现实情形,模型中的资产收益率表现出与现实类似的波动性,呈现明显的“波动聚集”的特征,并显示出一阶自相关的特性。收益率分布的主要统计量拟合的较好,表明该市场模型成功捕捉到了现实市场的主要特性。模型中投资者的行为模式与现实情形很贴近,是本文的一个特点。本文设定了四种类型的投资者------趋势跟随型、基于基本面型、技术分析型及买入并持有型；这四类投资者在现实中也十分常见,是股票市场的主要参与者。本文将这四类投资策略模型化,并对不同投资者的策略进行了简单的分析和对比。
[Abstract]:Individual behavior-based models are gaining popularity. In this paper, a new model of stock market based on investor behavior is established. It is generally considered that stock price fluctuates around the basic value. The important influence on asset price is the change of basic value. It is necessary to consider the influence of asset income on asset pricing. This paper is based on the model of Le Baron (2012). The new property of asset income is considered, and the index of "price-earnings ratio" is incorporated into the analysis framework. The simulation results fit the actual situation well. The return rate of assets in the model shows similar volatility to the reality, showing the characteristic of "volatility aggregation", and showing the characteristics of first-order autocorrelation. The main statistics of the return distribution fit well. It shows that the market model has successfully captured the main characteristics of the real market. The behavior pattern of investors in the model is very close to the real situation, which is a characteristic of this paper. This paper sets up four types of investors-trend-following type, based on the fundamental type. Technical analysis and buy-and-hold; These four types of investors are also very common in reality and are the main participants in the stock market. This paper models the four types of investment strategies and makes a simple analysis and comparison of the strategies of different investors.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.91

【共引文献】