本文關(guān)鍵詞： α系數(shù) 建倉 機(jī)構(gòu)投資者 CAPM模型 交易成本 流動性　出處：《天津商業(yè)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：CAPM模型是現(xiàn)代財(cái)務(wù)、金融理論的基礎(chǔ)，該模型的關(guān)鍵指標(biāo)α系數(shù)被稱為證券的特征收益率或超額收益率，在學(xué)術(shù)研究和證券實(shí)務(wù)領(lǐng)域都具有廣泛的應(yīng)用，α系數(shù)在實(shí)證研究中具有時變、均值回歸的特征。估算CAPM模型關(guān)鍵指標(biāo)的方法是證券特征線法，α系數(shù)就是該回歸線的截矩。而隨著經(jīng)濟(jì)的發(fā)展，以各類投資基金為代表的機(jī)構(gòu)投資者已成為證券市場的主要參與者，它們的交易行為對證券市場產(chǎn)生了非常重要的影響。機(jī)構(gòu)投資者在交易過程中經(jīng)常會采用建倉行為，這種交易行為對證券市場的影響已成為財(cái)務(wù)金融界學(xué)術(shù)研究的熱點(diǎn)。本文將探討機(jī)構(gòu)投資者建倉行為對CAPM模型的關(guān)鍵指標(biāo)α系數(shù)估算產(chǎn)生的影響并衡量其影響方向和程度。機(jī)構(gòu)投資者建倉是指機(jī)構(gòu)投資者在交易時為了不將股票價格推高而逐步的增持股票，它們把大的交易頭寸拆散，進(jìn)行分批交易，而這種分批交易往往采用中等頭寸，這是因?yàn)槠湓诮▊}過程中涉及到兩種交易成本的均衡。一般來說，機(jī)構(gòu)投資者在股票交易過程中會產(chǎn)生兩種此消彼長的交易成本。一種是以交易傭金為主的顯性成本，它與交易頭寸的大小負(fù)相關(guān)。另一種是股票交易引起的價格沖擊而產(chǎn)生的隱性成本，它與交易頭寸的大小正相關(guān)。本文通過借鑒財(cái)務(wù)管理中的存貨經(jīng)濟(jì)批量模型，構(gòu)建機(jī)構(gòu)投資者建倉的交易成本模型，數(shù)學(xué)求導(dǎo)得出了使機(jī)構(gòu)投資者交易總成本最小的頭寸即中等頭寸，證明了機(jī)構(gòu)投資者建倉行為是合理的。既然建倉行為是合理的，機(jī)構(gòu)投資者逐步增持或減持股票會使得機(jī)構(gòu)投資者的市場力量得到逐步釋放，將會顯著地改變證券特征線的形狀，從而可能會改變α系數(shù)的數(shù)值。那么本文提出假設(shè)：機(jī)構(gòu)投資者的建倉行為能夠影響證券特征線的回歸截距即α系數(shù)且其建倉程度與α系數(shù)成正比。然后本文對提出的假設(shè)進(jìn)行了實(shí)證檢驗(yàn)；并且通過實(shí)證研究發(fā)現(xiàn)由于機(jī)構(gòu)投資者建倉行為廣泛存在，它能夠影響證券特征線的回歸截矩（α系數(shù)），且機(jī)構(gòu)投資者建倉程度與α系數(shù)成正比。本文共分為七章進(jìn)行闡述：第一章是緒論，第二章是文獻(xiàn)回顧，第三章是機(jī)構(gòu)投資者建倉行為，第四章是CAPM模型與α系數(shù)理論，第五章是建倉行為對α系數(shù)估算影響的實(shí)證研究，第六章是實(shí)證研究結(jié)果，，第七章是研究結(jié)論與分析。
[Abstract]:CAPM model is the foundation of modern financial, financial theory, key indicators of alpha coefficients of the model is called the Yield Securities characteristics or excess rate of return, it is widely used in both academic research and practice field of securities, the alpha coefficient with time variable in the empirical study, the characteristics of mean regression method to estimate the key index of CAPM. The model is the security characteristic line method, the alpha coefficient is the intercept of the regression line. With the development of economy, all kinds of investment funds have become the main participants in the securities market, their trading behavior has a very important influence on the securities market. Institutional investors in the transaction process is often adopted the influence of Jiancang behavior, trading behavior of the securities market has become the hotspot of the financial sector in academic research. This paper will discuss the key positions behavior of institutional investors on CAPM model index Effect of alpha coefficient estimate and measure the impact of direction and extent. Institutional investors Jiancang refers to institutional investors in the transaction in order not to push up the share price gradually the holdings of the stock, they have large trading positions apart, batch transactions, and this batch transaction to the medium position. This is because it involves two kinds of transaction costs in the process of equilibrium positions. In general, the transaction cost of institutional investors will produce two kinds of changes in the stock trading process. One is the trading commissions as the dominant cost, and the size of trading positions it negative correlation. Another is the hidden cost of stock trading caused by price impact and it is positively related with the size of trading positions. The inventory EOQ model in financial management, transaction costs of establishing institutional investors Jiancang model, mathematical derivation The position of total transaction costs of institutional investors is the smallest medium position, proved the Jiancang behavior of institutional investors is reasonable. Since Jiancang behavior is reasonable, institutional investors gradually overweight or underweight stocks will make the institutional investors market forces are gradually released, will significantly change the security characteristic line shape, thus numerical may change the alpha coefficient. So this paper put forward a hypothesis: intercept Jiancang behavior of institutional investors can affect the securitycharacteristic line is the alpha coefficient and its coefficient is proportional to the degree and position. Then this paper conducts an empirical test on the hypothesis; and because the Jiancang behavior of institutional investors exist widely found through empirical research, cross-sectional regression the moment it can affect the security characteristic line (alpha), and institutional investors Jiancang degree and the alpha coefficient is proportional to. This paper is divided into seven chapters. This thesis: the first chapter is the introduction, the second chapter is the literature review, the third chapter is the Jiancang behavior of institutional investors, the fourth chapter is the CAPM model and the alpha coefficient theory, the fifth chapter is the empirical research of Jiancang behavior on the alpha coefficient estimation, the sixth chapter is the empirical research results, the seventh chapter is the conclusion of the study and analysis.

【學(xué)位授予單位】：天津商業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.42;F224

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