本文選題：條件資產(chǎn)定價模型 + 非參數(shù)估計方法��； 參考：《浙江工商大學(xué)》2013年碩士論文

【摘要】：資本資產(chǎn)定價模型認(rèn)為,市場風(fēng)險是決定股票價格的唯一因素,市場風(fēng)險涵蓋了資本市場存在的所有風(fēng)險。然而隨著越來越多金融異象的出現(xiàn),人們開始對資本資產(chǎn)定價模型產(chǎn)生懷疑。Fama和French通過對美國股市數(shù)據(jù)的實證研究提出了經(jīng)典的三因子定價模型,認(rèn)為市場因子、規(guī)模因子、價值因子共同影響了資產(chǎn)的價格。然而三因子模型仍然不能解釋股票市場存在的動量效應(yīng)。有效市場假說的支持者研究發(fā)現(xiàn),資產(chǎn)定價模型無法解釋越來越多的金融異象并不是因為市場無效,而是因為模型忽略了風(fēng)險的動態(tài)變化趨勢,于是資產(chǎn)定價模型開始逐漸向時變的條件資產(chǎn)定價模型發(fā)展。 本文采用非參數(shù)估計方法,利用基于數(shù)據(jù)驅(qū)動的方法尋找最優(yōu)估計窗寬,對中國A股市場2000年-2011年日度數(shù)據(jù)進(jìn)行了FF三因子模型的實證研究,通過將非參數(shù)估計結(jié)果與經(jīng)典的滾動窗口估計結(jié)果對比,發(fā)現(xiàn)非參數(shù)方法明顯優(yōu)于滾動窗口估計,通過對時點定價誤差和長期定價誤差的檢驗,發(fā)現(xiàn)非參數(shù)估計方法更適合中國股票市場；而后我們對三因子模型進(jìn)行了股票市場上下行定價因子的檢驗,發(fā)現(xiàn)市場因子和規(guī)模因子通過了檢驗,而價值因子并沒有通過檢驗。這說明在中國股票市場,只有市場因子和規(guī)模因子是定價因子,相應(yīng)的系統(tǒng)風(fēng)險影響資產(chǎn)組合的價格;而價值因子是特別風(fēng)險,市場不會一直對其進(jìn)行補(bǔ)償,價值因子在中國并不是定價因子。 基于上述的實證結(jié)果,本文創(chuàng)造性地采用了對中國股票市場價格有很大影響力的投資者情緒指標(biāo)替代沒有通過定價因子檢驗的價值因子,并對2000年-2011年的中國A股日度數(shù)據(jù)進(jìn)行了實證研究。實證表明,改進(jìn)的三因子模型雖然在實證效果方面弱于FF三因子模型,但是改進(jìn)的三因子模型通過了定價因子的檢驗,表明投資者情緒因子在中國股票市場是定價因子,相應(yīng)的風(fēng)險屬于系統(tǒng)風(fēng)險,影響資產(chǎn)組合的價格。
[Abstract]:According to the capital asset pricing model, market risk is the only factor that determines the stock price, and the market risk covers all the risks existing in the capital market. However, with the emergence of more and more financial anomalies, people began to doubt the capital asset pricing model. Fama and French put forward the classic three-factor pricing model through empirical research on American stock market data. Value factors affect the price of assets together. However, the three-factor model still can not explain the momentum effect in stock market. Research by proponents of the efficient Market hypothesis has found that asset pricing models fail to explain more and more financial anomalies not because markets are ineffective, but because the models ignore the dynamic trends of risk. So the asset pricing model began to develop to the time-varying conditional asset pricing model. In this paper, we use non-parametric estimation method and data-driven method to find the optimal estimation window width, and carry out an empirical study of the FF three-factor model for the daily data of China A-share market from 2000 to 2011. By comparing the non-parametric estimation results with the classical rolling window estimation results, it is found that the non-parametric method is obviously superior to the rolling window estimation, and the time point pricing error and the long-term pricing error are tested. It is found that the non-parametric estimation method is more suitable for the Chinese stock market, and then we test the three-factor model for the up-down pricing factor of the stock market, and find that the market factor and the scale factor have passed the test, but the value factor has not passed the test. This shows that in the Chinese stock market, only market factors and scale factors are pricing factors, and the corresponding systemic risk affects the price of the portfolio; and the value factor is a special risk, and the market will not always compensate for it. The value factor is not a pricing factor in China. Based on the above empirical results, this paper creatively uses the investor sentiment index which has great influence on the Chinese stock market price to replace the value factor which has not passed the pricing factor test. The daily data of Chinese A shares from 2000 to 2011 are studied empirically. The empirical results show that the improved three-factor model is weaker than FF three-factor model in empirical effect, but the improved three-factor model passes the test of pricing factor, which indicates that investor sentiment factor is a pricing factor in Chinese stock market. The corresponding risk belongs to the system risk, which affects the price of the portfolio.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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