中资概念股投资风险与收益分析

发布时间：2018-03-10 13:55

本文选题：资本资产定价模型（CAPM）　切入点：三因素模型　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：积极的金融风险管理在投资者的投资生涯中具有重要的作用，，可以稳定和增加投资者的收益率。自从2010年之后，在美上市的中资概念股的波动率突然加大，而且美国市场没有现有股指期货可以对冲投资组合的风险，这些都给投资于中资概念股的投资者增加了风险管理的难度。本文通过收集和分析财务数据，针对不同类型的投资，设计了相应有效的风险管理策略。资本资产定价是金融理论的一个重要内容，但是更多的研究文献表明，股票的平均收益与公司财务特征相关。本文就是在这些研究的基础之上，利用财务数据，构造投资组合，对账面市值比效应、规模效应，以及CAPM、三因素模型在中资概念股的适用性进行了验证与分析。结果表明，它们具有明显的账面市值比效应和规模效应。接着本文利用Campbell et al.(2001)的总体波动率分解法，将中资概念股总体波动率分解为三种成分波动率。结果表明，公司层面波动率占最大比重。本文分析一些中资公司被做空的大事记，并深度解析背后的深层次原因。本文分为五个部分。第一部分是绪论，介绍研究的背景、方法、目的和意义；回顾关于股票收益率分析和风险分析的国内外文献与主要研究成果。第二部分是中资概念股的收益率分析。结果表明，三因素模型比CAPM能更好的解释中资概念股的收益状况。第三部分中资概念股的波动率分析。结果表明，公司层面波动率最为显著。随后本文分析背后的重大事件与深层原因。第四部分利用期权和沪深300股指期货对投资风险进行风险管理。第五部分是本文的总结与展望。
[Abstract]:Active financial risk management plays an important role in the investor's investment career, which can stabilize and increase the return of investors. Since 2010, the volatility of Chinese concept stocks listed in the United States has suddenly increased. Moreover, there is no existing stock index futures in the United States to hedge against the risk of a portfolio, which makes it more difficult for investors to invest in Chinese concept stocks. This paper collects and analyzes financial data for different types of investments. The corresponding effective risk management strategy is designed. Capital asset pricing is an important part of financial theory, but more research literature shows that the average return of stocks is related to corporate financial characteristics. The paper constructs a portfolio, verifies and analyzes the applicability of market value ratio effect, scale effect, CAPMand three-factor model in Chinese concept stocks. The results show that they have obvious book ratio effect and scale effect. Then, by using the method of total volatility decomposition of Campbell et al. 2001), the total volatility of Chinese concept stocks is decomposed into three kinds of component volatility. The results show that, Volatility at the corporate level accounts for the largest proportion. This paper analyzes some major events in which Chinese companies are shorted, and deeply analyzes the underlying causes. This paper is divided into five parts. The first part is the introduction, introducing the background, method, purpose and significance of the research; Review the domestic and foreign literature and main research achievements on stock return analysis and risk analysis. The second part is the return analysis of Chinese concept stocks. The three-factor model can explain the income of Chinese concept stocks better than CAPM. The third part is the volatility analysis of Chinese concept stocks. The volatility at the company level is the most significant. Then this paper analyzes the major events and the underlying reasons. Part 4th uses options and CSI 300 stock index futures to manage the risk of investment. Part 5th is the summary and prospect of this paper.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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