本文選題：資本資產(chǎn)定價(jià)模型　切入點(diǎn)：三因素模型　出處：《貴州財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：資本資產(chǎn)定價(jià)模型（CAPM）作為現(xiàn)代金融財(cái)務(wù)理論的核心內(nèi)容之一，首先由夏普（1964）、林特納（1965）和莫辛（1966）在馬克維茨的均值—方差理論的基礎(chǔ)上分別提出，隨后Black，Jensen和Scholes提出著名的BJS雙程回歸檢驗(yàn)法、Fama-Macbeth的二階段回歸法、Roll的Roll批評(píng)和Fama-French提出的著名三因素模型,眾多學(xué)者不斷的對(duì)標(biāo)準(zhǔn)CAPM模型苛刻假設(shè)的放寬，逐步發(fā)展和形成了跨期資本資產(chǎn)定價(jià)模型(ICAPM)、基于下側(cè)風(fēng)險(xiǎn)資本資產(chǎn)定價(jià)模型(D-CAPM)、三因素模型（Three-factor model）和回報(bào)貝塔法資本資產(chǎn)定價(jià)模型（Reward βCAPM）等拓展模型。 20世紀(jì)90年代初，中國(guó)上海證券交易所和深圳證券交易所先后成立，成立至今數(shù)20載已被運(yùn)用到各行各領(lǐng)域中去。新興市場(chǎng)相比國(guó)外資本市場(chǎng)，存在許多體制上的不完善，無(wú)法滿足理論的假設(shè)條件，因此，CAPM模型在我國(guó)是適用性也有待考究。 本文選取2003年-2012年上證180指數(shù)樣本股的月收益率，將研究區(qū)間分為子區(qū)間T1從2003-2007年和子區(qū)間T2從2008年-2012年，在三因素分組和β值分組下運(yùn)用時(shí)間序列回歸和二階段回歸法對(duì)標(biāo)準(zhǔn)CAPM模型、下側(cè)風(fēng)險(xiǎn)CAPM模型、FF三因素模型、回報(bào)貝塔法CAPM模型和基于下側(cè)風(fēng)險(xiǎn)FF三因素模型進(jìn)行綜合比較分析以及對(duì)各組合各模型進(jìn)行深入的風(fēng)險(xiǎn)收益關(guān)系的研究，得出以下結(jié)論： 第一．計(jì)量系統(tǒng)風(fēng)險(xiǎn)β值的方法會(huì)影響模型對(duì)收益率的解釋力和模型總體擬合度。我們知道β系數(shù)是衡量單個(gè)資產(chǎn)相對(duì)于市場(chǎng)的波動(dòng)性的指標(biāo)，對(duì)于β值的計(jì)算方法，國(guó)內(nèi)外也有眾多學(xué)者有研究，共同的結(jié)論是，即不同的方法會(huì)影響模型的整體效果。 第二．在系統(tǒng)風(fēng)險(xiǎn)外，非系統(tǒng)風(fēng)險(xiǎn)對(duì)收益的影響是顯著的。這可以從FF三因素模型和標(biāo)準(zhǔn)CAPM模型、下側(cè)風(fēng)險(xiǎn)CAPM模型和回報(bào)貝塔CAPM模型的比較中看出，并且收益率的與規(guī)模因素成反比，與市值成正相關(guān)。 第三．所有模型在我國(guó)股市的適應(yīng)性都不強(qiáng)。在多次分組別，多方法的比較中，，標(biāo)準(zhǔn)CAPM模型和回報(bào)貝塔法CAPM模型的解釋力基本相當(dāng)，都不是很強(qiáng)，而下側(cè)風(fēng)險(xiǎn)CAPM模型和FF三因素模型以及我們引入的基于下側(cè)風(fēng)險(xiǎn)FF三因素模型雖然有所提高，但是整體的擬合度和解釋力都不是很強(qiáng)。 第四．除了對(duì)全樣本收益風(fēng)險(xiǎn)研究外的大部分結(jié)論證明我國(guó)股市資金的時(shí)間價(jià)值為負(fù)值。說(shuō)明我國(guó)資本市場(chǎng)還不夠成熟、完善，相比國(guó)外成熟市場(chǎng)，國(guó)內(nèi)股市的現(xiàn)狀是信息披露不夠充分，財(cái)務(wù)造假情況較多，重融資輕分紅，信息不對(duì)稱，噪聲交易，受政策影響較大等的因素存在，加上投資者比例結(jié)構(gòu)上，大部分為個(gè)人投資，機(jī)構(gòu)投資比例低，從而導(dǎo)致非理性投資行為嚴(yán)重，投機(jī)現(xiàn)象存在，導(dǎo)致資金的時(shí)間價(jià)值為負(fù)值。
[Abstract]:As one of the core contents of the modern financial theory, the capital asset pricing model (CAPM) is first put forward by Sharp, Lintner, 1965) and Moxinman (1966) on the basis of Markowitz's mean-variance theory. Then Blackan Jensen and Scholes put forward the famous two-stage regression method of BJS and Roll criticism of Fama-Macbeth and the famous three-factor model proposed by Fama-French. Many scholars have been relaxing the harsh assumptions of standard CAPM model. The intertemporal capital asset pricing model (ICAPMN) is gradually developed and formed, which is based on the lower venture capital asset pricing model (D-CAPMN), the three-factor model (three-factor model) and the return Beta method capital asset pricing model (return 尾 CAPMM). In 1990s, the Shanghai Stock Exchange of China and the Shenzhen Stock Exchange were established one after another, and 20 years since their establishment, they have been applied to various fields of the bank. There are many institutional imperfections in the emerging markets compared with the foreign capital markets. Therefore, the applicability of CAPM model in China remains to be studied. This paper selects the monthly return rate of the sample stock of Shanghai 180 index from 2003 to 2012, divides the study interval into subinterval T1 from 2003-2007 and subinterval T2 from 2008 to 2008. The standard CAPM model, the lower risk CAPM model and the FF three-factor model were analyzed by using time series regression and two-stage regression under three factor grouping and 尾 value grouping. The CAPM model of return beta method and the three-factor model based on lower risk FF are comprehensively compared and analyzed, as well as the in-depth study on the relationship between risk and return of each combination. The following conclusions are drawn:. First, the method of measuring the system risk 尾 will affect the explanatory power of the model to the return rate and the overall fitting degree of the model. We know that the 尾 coefficient is an index to measure the volatility of a single asset relative to the market, and the calculation method of the 尾 value, There are many scholars at home and abroad, the common conclusion is that different methods will affect the overall effect of the model. Secondly, the influence of non-system risk on income is significant, which can be seen from the comparison of FF three-factor model and standard CAPM model, lower risk CAPM model and return Beta CAPM model. And the rate of return is inversely proportional to the scale factor and positively related to market value. Third, the adaptability of all models in Chinese stock market is not strong. In the comparison of multiple groups and multiple methods, the standard CAPM model and the return beta method CAPM model have similar explanatory power and are not very strong. Although the lower risk CAPM model and FF three-factor model and the three factor model based on the lower risk FF have been improved, the overall fitness and explanatory power are not very strong. 4th. In addition to the study on the return risk of the whole sample, most of the conclusions prove that the time value of the stock market in China is negative, which indicates that the capital market of our country is not mature enough, perfect, compared with the mature market of foreign countries. The current situation of the domestic stock market is that the information disclosure is not enough, the financial fraud is more, the heavy financing is less than the dividend, the information asymmetry, the noise transaction, the influence of the policy and so on, and the proportion structure of the investors. Most of them are personal investment, and the proportion of institutional investment is low, which leads to the serious irrational investment behavior, the existence of speculation, and the negative value of the time of capital.
【學(xué)位授予單位】：貴州財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.42;F224

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