本文關(guān)鍵詞：條件資產(chǎn)定價(jià)模型與定價(jià)因子的研究　出處：《浙江工商大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 非參數(shù)估計(jì) 條件資產(chǎn)定價(jià)模型 Fama-MacBeth檢驗(yàn) 定價(jià)誤差 特質(zhì)風(fēng)險(xiǎn)

【摘要】：有效市場(chǎng)假說(shuō)認(rèn)為資產(chǎn)價(jià)格可以正確反映市場(chǎng)信息,基于市場(chǎng)價(jià)格的有效性,資產(chǎn)定價(jià)理論得以迅速發(fā)展。然而假設(shè)條件的完美也決定了資本資產(chǎn)定價(jià)模型解釋市場(chǎng)金融異象的局限性,使得人們對(duì)其不斷提出質(zhì)疑。有效市場(chǎng)假說(shuō)的支持者認(rèn)為資產(chǎn)定價(jià)模型的失效并非因?yàn)橘Y產(chǎn)組合的市場(chǎng)價(jià)格是無(wú)效的,而是因?yàn)闊o(wú)條件定價(jià)模型忽略了資產(chǎn)組合風(fēng)險(xiǎn)的動(dòng)態(tài)變化,使得資產(chǎn)定價(jià)模型的研究逐漸從靜態(tài)的無(wú)條件向時(shí)變的條件模型發(fā)展。 本文將條件Fama-French三因子模型應(yīng)用到中國(guó)股票市場(chǎng),對(duì)中國(guó)股市分別進(jìn)行了資本資產(chǎn)定價(jià)模型和Fama-French三因子模型的比對(duì)；無(wú)條件資產(chǎn)定價(jià)模型和條件資產(chǎn)定價(jià)模型的比對(duì)；條件模型中非參數(shù)估計(jì)方法和滾動(dòng)窗口估計(jì)方法的比對(duì)。我們發(fā)現(xiàn)條件Fama-French三因子模型可以解釋傳統(tǒng)CAPM不能解釋的規(guī)模效應(yīng)和賬面市值比效應(yīng)。通過(guò)對(duì)25個(gè)資產(chǎn)組合的長(zhǎng)期定價(jià)誤差進(jìn)行聯(lián)合檢驗(yàn),我們檢驗(yàn)了條件Fama-French三因子模型在中國(guó)股票市場(chǎng)上的適用性。通過(guò)對(duì)比條件和無(wú)條件資產(chǎn)模型的定價(jià)誤差,我們發(fā)現(xiàn)條件Fama-French三因子模型的定價(jià)誤差明顯要小于無(wú)條件Fama-French三因子模型和資本資產(chǎn)定價(jià)模型,結(jié)果表明通過(guò)時(shí)變載荷捕捉了動(dòng)態(tài)風(fēng)險(xiǎn)之后,Fama-French三因子模型加強(qiáng)了對(duì)股票橫截面收益率差異的解釋能力。同時(shí)我們分別討論了三因子載荷長(zhǎng)期和時(shí)變的特性,研究不同組合之間對(duì)風(fēng)險(xiǎn)敏感系數(shù)的差異,從而探討不同組合風(fēng)險(xiǎn)敞口的時(shí)變特征。 本文并未止步于風(fēng)險(xiǎn)因子和資產(chǎn)超額收益率的系統(tǒng)關(guān)系研究,我們進(jìn)一步識(shí)別了市場(chǎng)因子、價(jià)值因子、規(guī)模因子的風(fēng)險(xiǎn)類型。通過(guò)條件Fama-MacBeth橫截面檢驗(yàn)方法我們對(duì)因子載荷的市場(chǎng)風(fēng)險(xiǎn)溢價(jià)分別進(jìn)行了全時(shí)段檢驗(yàn)、分時(shí)段檢驗(yàn)、市場(chǎng)上下行期間檢驗(yàn)。我們得到三因子模型中市場(chǎng)因子和價(jià)值因子作為定價(jià)因子擁有顯著的市場(chǎng)溢價(jià),定價(jià)因子相應(yīng)的系統(tǒng)風(fēng)險(xiǎn)也決定著資產(chǎn)組合的價(jià)格。而價(jià)值因子僅由特質(zhì)風(fēng)險(xiǎn)引起,市場(chǎng)不會(huì)一直對(duì)其風(fēng)險(xiǎn)進(jìn)行補(bǔ)償。
[Abstract]:The efficient market hypothesis that asset prices can correctly reflect the market information, effective market price based on the asset pricing theory developed rapidly. However, the perfect assumptions also determines the capital asset pricing model to explain the limitations of financial market anomalies, makes people to constantly questioned. Proponents of the efficient market hypothesis is not asset pricing failure the model of portfolio because the market price is invalid, but because of the dynamic changes of unconditional pricing model ignores the portfolio risk, the study of asset pricing models to gradually from the time-varying static conditions without model development.
In this paper, the application conditions of Fama-French three factor model to China stock market, stock market of China respectively compared with the capital asset pricing model and Fama-French three factor model; comparison of unconditional asset pricing model and conditional asset pricing model; conditional model in non parametric estimation method and rolling window estimation method are compared. We found Fama-French the three factor model can explain the size effect and book to market the traditional CAPM can not explain the effect. Joint inspection by long-term pricing errors for 25 asset portfolio, we tested the applicability of Fama-French three factor model in China stock market. Through the comparison of the pricing error of conditional and unconditional asset model, we find that pricing error Fama-French three factor model is significantly smaller than the unconditional Fama-French three factor model and capital The asset pricing model, the results show that the time-varying load to capture the dynamic risk after the Fama-French three factor model to strengthen the differences on the cross-section of stock returns. At the same time, we discuss the ability characteristics of three factor load long-term and time-varying, differences in risk sensitivity coefficient of different combinations, so as to explore different combinations exposure to time-varying characteristics.
This paper did not stop on the relationship between risk factor and system excess return rate of assets, we further identify the market factor, value factor, risk type scale factor. The whole time don't test by Fama-MacBeth cross section test method we the factor loading of the market risk premium, sub period inspection, inspection on the market downturn we get the market factor and value factor three factor model as the pricing factor has significant market risk premium pricing system, the corresponding factor also determines the portfolio price. But the value factor is only caused by idiosyncratic risk, the market does not always compensate for the risk.

【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】：2012
【分類號(hào)】：F224;F830.91

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