CAPM及其修正模型在我国创业板市场的适用性实证研究

发布时间：2018-02-25 04:05

本文关键词： CAPM模型三因子模型创业板市场　出处：《天津大学》2014年硕士论文　论文类型：学位论文

【摘要】：创业板自其成立至今已有四年，其建立的目的主要是扶持中小型、创业型和成长型的企业。作为主板的补充，创业板在我国资本市场有着重要的地位。针对目前国内对CAPM及其修正模型在创业板的适用性研究的空白，本文选取42家创业板上市公司在2010年7月30到2013年9月30的月收益数据为研究对象对这一问题进行了实证研究。首先运用BJS时间序列分析法和横截面检验法对CAPM模型的适用性展开研究。在应用BJS时间序列法进行分析时，排序期和预估期的实证结果表明绝大多数情况下，单只股票或者股票组合的期望收益率与市场风险因子之间存在显著的正相关关系，而且二者之间是显著的线性关系。但是检验期和应用横截面检验法的实证结果显示各自变量的系数均不显著。另外，采用两种方法所得的结果均显示R方都比较低，说明股票定价因子除了市场风险因子以外，还有别的定价因子存在。CAPM在中国创业板市场的适用性不强，选用不同的时间区间和采用不同的实证方法得到的结论可能不一样。当前，依据CAPM模型去对创业板市场股票收益率进行估计有失精准。为了寻找创业板股票定价的其他影响因素，接着又使用了扩展的模型（三因子模型）对创业板进行适用性检验。实证的结果显示：1市场风险因子显著性不强，可能存在与股票收益率之间的正相关关系。2创业板市场存在着明显的小公司效应和账面市值比效应，即小市值规模股票和价值型股票更易获得超额回报。3创业板市场可能存在严重的投机行为，，投资者的投资行为缺乏专业、理性的指导。4三因子模型的解释力虽较单一因子（市场风险因子）模型有所提高，但是最终的解释力还是不高，创业板市场还存在其他定价因子。最后，又提出了相应的政策建议。
[Abstract]:It has been four years since the gem was founded. The purpose of its establishment is mainly to support small and medium-sized enterprises, entrepreneurial enterprises and growth-type enterprises. The gem plays an important role in China's capital market. In this paper, 42 gem listed companies from July 30th 2010 to September 30th 2013 in the monthly earnings data as the research object of the empirical study on this issue. Firstly, the applicability of CAPM model is studied by using BJS time series analysis and cross section test. When the BJS time series method is applied, the empirical results of sequencing period and prediction period show that, in most cases, There is a significant positive correlation between the expected return rate of a single stock or stock portfolio and market risk factors. Moreover, there is a significant linear relationship between them. However, both the test period and the empirical results of cross-section test show that the coefficients of their variables are not significant. In addition, the results obtained by both methods show that the R side is relatively low. It shows that in addition to the market risk factor, there are other pricing factors, the applicability of CAPM in China's gem market is not strong. Different time intervals and different empirical methods may lead to different conclusions. At present, it is inaccurate to estimate the return rate of gem stock market based on CAPM model. In order to find out other influencing factors of gem stock pricing, the extended model (three-factor model) is used to test the applicability of gem. The empirical results show that the market risk factor of 1 / 1 is not significant. There may be a positive correlation between stock returns and the growth enterprise market. 2 there are obvious small company effects and book market value effects in the gem market. That is, small market value stocks and value stocks are more likely to get excess returns. 3. There may be serious speculative behavior in the gem market, and investors' investment behavior is lack of professionalism. The explanatory power of the three-factor model is higher than that of the single factor (market risk factor) model, but the final explanatory power is not high, and there are other pricing factors in the gem market. Finally, the corresponding policy recommendations are put forward.
【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;F224

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