特质风险和股票收益相关关系的研究

发布时间：2018-12-31 20:56

【摘要】：股票收益和投资风险的相关关系一直是金融学理论研究的核心问题。近年来,关于特质风险和股票收益的研究正成为研究热点,但学者们尚未就二者的相关关系得出一致结论。首先,国内对特质风险和股票收益相关关系的研究主要运用投资组合分析法定性反映,在研究方法上需要创新。其次,针对特质风险和股票收益相关关系影响因素的研究,也存在着理论和实证方面的不足。基于此,本文首先采用分位数回归分析法刻画十个分位点,对股票特质风险与收益的相关关系进行量化实证检验;其次,结合资产定价与行为金融的理论和实证结果,将异质信念引入到上述相关性的研究中来,并使用层次回归分析方法进一步探索异质信念对特质风险与股票收益相关关系的影响。本文以2006年1月至2014年6月沪市主板A股市场的股票为研究样本。首先,使用Fama-French三因子模型利用日度数据对每支股票进行逐月回归,以估计样本股票的月度特质风险。其次,在利用投资组合分析法定性分析特质风险和股票收益相关关系的基础上,使用分位数回归分析法进行量化分析,发现“特质风险之谜”仅存在于收益率较低的样本股票中。在收益率较高的股票中,特质风险和股票收益呈正相关关系且随着股票收益率分位数的增大特质风险和股票收益的正相关关系增强。再次,使用Fama-Mac Beth两步回归分析法检验了异质信念对股票收益的影响。最后,通过层次回归分析,发现异质信念和特质风险对股票收益的影响存在交互效应,异质信念正向影响特质风险与股票收益的相关性,即股票交易中存在的异质信念越大,特质风险和股票收益的正相关关系越显著。本文用多种实证方法检验特质风险和股票收益的相关关系及影响因素,在研究方法上具有一定的创新性;将行为金融理论与资产定价理论结合在一起,发现了异质信念对其相关关系的解释作用,具有一定的理论意义。
[Abstract]:The relationship between stock return and investment risk is always the core of financial theory research. In recent years, the research on trait risk and stock return has become a hot topic, but scholars have not reached a consistent conclusion on the relationship between them. Firstly, the domestic research on the relationship between trait risk and stock return is mainly reflected qualitatively by portfolio analysis, and the research method needs innovation. Secondly, there are theoretical and empirical deficiencies in the study of factors influencing the relationship between trait risk and stock return. Based on this, this paper firstly uses the quantile regression analysis method to depict ten loci, and carries on the quantitative empirical test to the stock trait risk and the income correlation; Secondly, combining the theoretical and empirical results of asset pricing and behavioral finance, the heterogeneous beliefs are introduced into the study of the above correlation. The influence of heterogeneous beliefs on the relationship between trait risk and stock returns is further explored by using hierarchical regression analysis. From January 2006 to June 2014, A-share market of Shanghai stock market is taken as the research sample. First, the Fama-French three-factor model is used to estimate the monthly trait risk of the sample stock by using the daily data to regress each stock month by month. Secondly, on the basis of qualitative analysis of the relationship between trait risk and stock return by portfolio analysis, quantile regression analysis is used to analyze the relationship between trait risk and stock return. It is found that trait risk Mystery exists only in sample stocks with lower yield. In the stocks with higher returns, trait risk is positively correlated with stock returns, and the positive correlation between trait risk and stock returns increases with the increase of the quantiles of stock returns. Thirdly, Fama-Mac Beth two-step regression analysis is used to test the influence of heterogeneous beliefs on stock returns. Finally, through hierarchical regression analysis, we find that heterogeneity belief and trait risk have interactive effects on stock returns. Heterogeneity beliefs positively affect the correlation between trait risk and stock returns, that is, the more heterogeneity beliefs exist in stock trading, the more heterogeneous beliefs exist in stock trading. The positive correlation between trait risk and stock return is more significant. This paper uses a variety of empirical methods to test the relationship between trait risk and stock returns and the influencing factors, which is innovative in the research methods. Combining behavioral finance theory with asset pricing theory, the author finds that heterogeneous beliefs explain the correlation between them, which has certain theoretical significance.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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