本文選題：資產定價　切入點：大宗商品風險因子　出處：《復旦大學》2013年碩士論文

【摘要】：大宗商品作為工業(yè)生產中不可或缺的原材料,其價格變化通過各種渠道傳導對股票市場中上市公司股價有一定影響。本文主要目的是研究大宗商品價格波動對我國上海證券交易所A股收益是否有影響,利用資本資產定價模型的理論框架,將大宗商品價格因子作為資產定價模型的一個因子定價,檢驗了大宗商品價格波動對股票收益的影響。資產定價模型在不斷發(fā)展,從傳統(tǒng)資本資產定價模型到因子模型,在不同的股票市場中都有不同的適用性。 本文首先從理論上梳理和推導了CAPM模型、F-F因子模型并采用資產定價模型檢驗的經典方法Fama-French時間序列檢驗和Fama Macbeth橫截面檢驗驗證了各個資產定價模型在我國上證A股市場上的有效性。其次,在已有資產定價理論的基礎上加入了大宗商品價格因子進行推導,得出了一個包含大宗商品價格因子的資產定價模型。將加入大宗商品因子模型之后的資產定價模型進行檢驗,發(fā)現(xiàn)大宗商品因子與其他因子如市值因子、賬面市值比因子等并不存在自相關性,表明大宗商品價格因子不能被其他因子所代替,是獨立影響我國股票市場收益的因子。最后,將加入大宗商品因子的資產定價模型與傳統(tǒng)的資產定價模型相比較,發(fā)現(xiàn)加入大宗商品因子后,模型的擬合度和顯著性都有一定程度的提高,這表明大宗商品價格波動對我國股票市場收益確實存在一定影響,但其提高的幅度不是太大,這說明在上海證券A股市場上,大宗商品價格波動對股票收益的影響相比市值等因子對股票收益的影響而言,還比較有限。
[Abstract]:As an indispensable raw material in industrial production, commodity prices change through various channels to influence the stock prices of listed companies in the stock market.The main purpose of this paper is to study whether the fluctuation of commodity prices has an impact on the A-share returns of Shanghai Stock Exchange, and to use the theoretical framework of the capital asset pricing model.The commodity price factor is used as a factor in the asset pricing model to test the impact of commodity price volatility on stock returns.Asset pricing model is developing continuously, from traditional capital asset pricing model to factor model, it has different applicability in different stock market.In this paper, the F-F factor model of CAPM model is theoretically summarized and deduced, and the classical methods of asset pricing model test, Fama-French time series test and Fama Macbeth cross-section test, are used to verify the asset pricing models in Shanghai Stock Exchange of China.Effectiveness in the stock market.Secondly, on the basis of the existing asset pricing theory, the commodity price factor is added to deduce, and an asset pricing model containing commodity price factor is obtained.After testing the asset pricing model after adding the commodity factor model, it is found that there is no autocorrelation between the commodity factor and other factors such as market value factor, book market value ratio factor, etc.It shows that the commodity price factor can not be replaced by other factors, and it is an independent factor that affects the stock market returns in China.Finally, by comparing the asset pricing model with commodity factor and traditional asset pricing model, it is found that the fitting degree and significance of the model are improved to a certain extent after the addition of commodity factor.This shows that the fluctuation of commodity prices does have a certain impact on the return of China's stock market, but the extent of its increase is not too large. This shows that in the Shanghai stock A-share market,The impact of commodity price volatility on stock returns is more limited than that of market value and other factors.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1728532