發(fā)布時(shí)間：2018-05-16 13:27

  本文選題：條件資產(chǎn)定價(jià)模型 + 非參數(shù)估計(jì)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(jià)模型認(rèn)為,市場(chǎng)風(fēng)險(xiǎn)是決定股票價(jià)格的唯一因素,市場(chǎng)風(fēng)險(xiǎn)涵蓋了資本市場(chǎng)存在的所有風(fēng)險(xiǎn)。然而隨著越來越多金融異象的出現(xiàn),人們開始對(duì)資本資產(chǎn)定價(jià)模型產(chǎn)生懷疑。Fama和French通過對(duì)美國股市數(shù)據(jù)的實(shí)證研究提出了經(jīng)典的三因子定價(jià)模型,認(rèn)為市場(chǎng)因子、規(guī)模因子、價(jià)值因子共同影響了資產(chǎn)的價(jià)格。然而三因子模型仍然不能解釋股票市場(chǎng)存在的動(dòng)量效應(yīng)。有效市場(chǎng)假說的支持者研究發(fā)現(xiàn),資產(chǎn)定價(jià)模型無法解釋越來越多的金融異象并不是因?yàn)槭袌?chǎng)無效,而是因?yàn)槟Ｐ秃雎粤孙L(fēng)險(xiǎn)的動(dòng)態(tài)變化趨勢(shì),于是資產(chǎn)定價(jià)模型開始逐漸向時(shí)變的條件資產(chǎn)定價(jià)模型發(fā)展。 本文采用非參數(shù)估計(jì)方法,利用基于數(shù)據(jù)驅(qū)動(dòng)的方法尋找最優(yōu)估計(jì)窗寬,對(duì)中國A股市場(chǎng)2000年-2011年日度數(shù)據(jù)進(jìn)行了FF三因子模型的實(shí)證研究,通過將非參數(shù)估計(jì)結(jié)果與經(jīng)典的滾動(dòng)窗口估計(jì)結(jié)果對(duì)比,發(fā)現(xiàn)非參數(shù)方法明顯優(yōu)于滾動(dòng)窗口估計(jì),通過對(duì)時(shí)點(diǎn)定價(jià)誤差和長(zhǎng)期定價(jià)誤差的檢驗(yàn),發(fā)現(xiàn)非參數(shù)估計(jì)方法更適合中國股票市場(chǎng)；而后我們對(duì)三因子模型進(jìn)行了股票市場(chǎng)上下行定價(jià)因子的檢驗(yàn),發(fā)現(xiàn)市場(chǎng)因子和規(guī)模因子通過了檢驗(yàn),而價(jià)值因子并沒有通過檢驗(yàn)。這說明在中國股票市場(chǎng),只有市場(chǎng)因子和規(guī)模因子是定價(jià)因子,相應(yīng)的系統(tǒng)風(fēng)險(xiǎn)影響資產(chǎn)組合的價(jià)格;而價(jià)值因子是特別風(fēng)險(xiǎn),市場(chǎng)不會(huì)一直對(duì)其進(jìn)行補(bǔ)償,價(jià)值因子在中國并不是定價(jià)因子。 基于上述的實(shí)證結(jié)果,本文創(chuàng)造性地采用了對(duì)中國股票市場(chǎng)價(jià)格有很大影響力的投資者情緒指標(biāo)替代沒有通過定價(jià)因子檢驗(yàn)的價(jià)值因子,并對(duì)2000年-2011年的中國A股日度數(shù)據(jù)進(jìn)行了實(shí)證研究。實(shí)證表明,改進(jìn)的三因子模型雖然在實(shí)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(jià)因子的檢驗(yàn),表明投資者情緒因子在中國股票市場(chǎng)是定價(jià)因子,相應(yīng)的風(fēng)險(xiǎn)屬于系統(tǒng)風(fēng)險(xiǎn),影響資產(chǎn)組合的價(jià)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(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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