杠杆率因子对融资标的股票收益率的影响分析

发布时间：2018-03-23 16:26

本文选题：杠杆率　切入点：融资　出处：《会计之友》2017年16期

【摘要】：融资融券交易为中国股市引入了杠杆特征,加大了股票价格变动的不确定性。以2015年股灾前后为样本区间,分析了Fama-French三因子模型在对我国融资标的股票收益率的解释力度。在此基础上在三因子模型中加入杠杆率因子及其滞后项,探讨杠杆交易背景下融资标的股票的风险溢价特征。研究结果显示:Fama-French三因子模型能够较好地解释我国融资标的股票的收益率,但股灾前后的风险溢价特征发生了较大改变;杠杆率同样具有显著的定价作用,加入杠杆率因子后,融资标的股票的账面市值比因子溢价效应消失;股灾之前,高杠杆率能够支撑高收益,但股灾之后杠杆率因子与收益率的关系并不显著。研究结论可以为证券监管部门对杠杆率的调控提供借鉴。
[Abstract]:Margin trading has introduced leverage into the Chinese stock market and increased the uncertainty of stock price movements. Take the period before and after the 2015 stock disaster as a sample range. This paper analyzes the strength of the Fama-French three-factor model to explain the stock return rate of China's financing target, and on this basis, adds the leverage factor and its lag term to the three-factor model. This paper discusses the characteristics of risk premium of the stocks with financing target under the background of leveraged trading. The results show that the three-factor model of "1: Fama-French" can better explain the return rate of the stocks with financing targets in China, but the characteristics of the risk premium have changed greatly before and after the stock disaster. Leverage ratio also has a significant pricing effect. After adding the leverage factor, the book value premium effect of the underlying stocks will disappear; prior to the stock disaster, the high leverage ratio can support high returns. However, the relationship between leverage factor and yield is not significant after the stock disaster.
【作者单位】：西南财经大学金融学院;
【基金】：国家自然科学基金面上项目“基于经济金融关联网络的系统性风险动态监管机制研究”(71673225)
【分类号】：F832.51

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