我国股市异质期望与资产定价研究

发布时间：2018-02-13 12:56

本文关键词： 异质期望股票收益序贯交易模型　出处：《天津大学》2014年博士论文　论文类型：学位论文

【摘要】：传统的资本资产定价模型(CAPM)的一个关键假设是,所有的投资者对于同一种资产未来收益的概率分布持同质期望。但是,这一假设很难得到实证研究的证实。在实际的股票市场中,投资者受自身收入水平、年龄、受教育程度、人生经历等因素的影响,对同一股票相同持有期下的收益分布往往有不同的判断,也就是投资者之间存在意见分歧,这样的意见分歧就是异质期望。而在现实中如何用异质期望代替同质期望假设,以及异质期望如何影响了资产价格成为了金融学研究的热点。本文基于我国股票市场,从理论和实证角度分析了我国证券市场中的交易者异质期望对资产价格的影响。在构建异质期望的衡量指标上,为剔除信息不对称及掌握私有信息的知情交易者的影响,采用了改进的序贯交易模型,将异质期望因素加入到模型之中。本文选取了2010年1月到2012年6月间30支股票的数据,在序贯交易模型估计的基础上,创造性地由离散型概率分布的角度构建了度量不知情交易者异质期望水平的代理指标。这一指标是在对现实市场中投资者实际操作的基础上形成的,不但更加适合中国市场,而且更加准确和客观地衡量投资者的意见分歧。除分别从个体角度、时序角度进行研究外,本文开创性地应用面板数据以及面板回归的分析方法来对异质期望的程度、异质期望对资产定价的影响进行分析。得出结论:投资者的异质期望对股票收益率产生反向的影响,投资者对某一支股票的异质期望水平越高,其收益率越低,看法越一致则收益率越高。并且,这种反向影响在不同的时点上,也就是不同市场状况下,差异更加显著,而对于不同的股票则差别不大。另外,本文同样应用面板回归分析方法对异质期望本身的影响因素进行实证分析。结果表明收益率、交易活跃程度和波动性均对异质期望水平有显著影响。其中收益率,也就是股票的业绩,和交易活跃程度,也就是市场整体的氛围,对投资者异质期望的形成有较大影响。而且,其影响均为负相关关系,即收益率越小的股票,投资者异质期望水平越高;交易活跃程度越小的股票,投资者异质期望水平越高。股票的波动性对投资者也有显著影响,对于波动性较大的股票,投资者异质期望程度较低,这也从一个侧面表现出我国股市的投机气氛较重。
[Abstract]:One of the key assumptions of the traditional capital asset pricing model (CAPMM) is that all investors have homogeneous expectations about the probability distribution of the future returns of the same asset. In a real stock market, investors are influenced by factors such as their income level, age, education, life experience, etc. There are often different judgments on the distribution of income under the same holding period of the same stock, that is, there are differences of opinion among investors, such differences of opinion are heterogeneity expectations, and in reality, how to replace the assumption of homogeneous expectations with heterogeneous expectations, And how heterogeneous expectations affect asset prices has become a hot topic in finance. This paper analyzes the influence of traders' heterogeneity expectation on asset price in China's securities market theoretically and empirically. In order to eliminate the information asymmetry and the influence of informed traders who have private information, we construct the index of heterogeneous expectation. An improved sequential trading model is adopted and heterogeneous expectation factors are added to the model. In this paper, the data of 30 stocks from January 2010 to June 2012 are selected, and based on the estimation of the sequential trading model, This paper creatively constructs a proxy index to measure the heterogeneous expectation level of uninformed traders from the perspective of discrete probability distribution, which is formed on the basis of the actual operation of investors in the real market, and is not only more suitable for the Chinese market, but also more suitable for the Chinese market. In addition to the research from the perspective of individual and time series, this paper makes a groundbreaking use of panel data and panel regression analysis method to analyze the degree of heterogeneity. The influence of heterogeneity expectation on asset pricing is analyzed. The conclusion is that investors' heterogeneity expectation has a reverse effect on stock yield. The higher the heterogeneous expectation level of a certain stock is, the lower the return rate is. The more consistent the view, the higher the yield. And the reverse effect is more pronounced at different time points, that is, in different market conditions, and not very different for different stocks. In this paper, panel regression analysis is also used to analyze the influencing factors of heterogeneity expectation itself. The results show that the rate of return, the degree of transaction activity and the volatility all have significant effects on the heterogeneous expectation level. That is, the performance of stocks, and the degree of trading activity, that is, the atmosphere of the market as a whole, have a great impact on the formation of heterogeneous expectations of investors. The higher the level of investors' heterogeneity expectation is, the higher the level of investor's heterogeneity expectation is when the trading activity is smaller. The volatility of stock also has a significant influence on investors, and for the stocks with higher volatility, the degree of investor's heterogeneity expectation is lower. This also shows from one side the speculative atmosphere of our country stock market is heavy.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F224

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