本文關(guān)鍵詞：基于流動(dòng)性的資本資產(chǎn)定價(jià)模型研究　出處：《哈爾濱理工大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

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【摘要】：隨著資本市場的發(fā)展，股票收益率問題越來越受到金融領(lǐng)域、財(cái)務(wù)領(lǐng)域乃至普通大眾的關(guān)注。在面臨各種投資決策時(shí)，需要對(duì)不同投資方案的資產(chǎn)進(jìn)行收益的評(píng)估，因此資產(chǎn)定價(jià)理論在此過程中有著極強(qiáng)的實(shí)踐作用。然而傳統(tǒng)的定價(jià)模型由于忽略了流動(dòng)性因素，在解釋并非完美的現(xiàn)實(shí)股票市場時(shí)遇到了困難。將流動(dòng)性納入到資產(chǎn)定價(jià)模型，成為了國內(nèi)外學(xué)者研究的熱點(diǎn)。 由于流動(dòng)性被認(rèn)為是股票定價(jià)的重要因素之一，本文在滬深股市的背景下，研究構(gòu)建了基于流動(dòng)性的資本資產(chǎn)定價(jià)模型。文章首先回顧了國內(nèi)外關(guān)于流動(dòng)性與資產(chǎn)定價(jià)模型相關(guān)的研究現(xiàn)狀；介紹了流動(dòng)性相關(guān)定義和維度特征，研究了流動(dòng)性的不同類型的度量方法；分析了經(jīng)典的資本資產(chǎn)定價(jià)模型、套利定價(jià)理論以及F/F三因素資產(chǎn)定價(jià)模型的特征及假設(shè)。然后通過分析滬深股市的定價(jià)機(jī)制和流動(dòng)性特征，從股市整體和個(gè)股兩方面分析流動(dòng)性對(duì)股票定價(jià)的影響。由此建立了基于流動(dòng)性的資本資產(chǎn)定價(jià)模型，這是本研究的重點(diǎn)。在主要研究部分，首先是明確模型建立前提和原則，通過前面對(duì)定價(jià)模型假設(shè)的分析確定將F/F三因素資產(chǎn)定價(jià)模型作為所構(gòu)建模型的基礎(chǔ)模型；通過對(duì)滬深股市流動(dòng)性特征分析，用比較分析的方法構(gòu)建能適用于滬深股市背景下的流動(dòng)性度量指標(biāo)，從而建立了LAFF四因素資本資產(chǎn)定價(jià)模型。論文最后通過采用滬市A股的數(shù)據(jù)對(duì)LAFF四因素模型進(jìn)行實(shí)證研究，得出結(jié)論是股票收益率同時(shí)受市場、公司規(guī)模、賬面市值比、流動(dòng)性因素的共同作用，所構(gòu)建的模型對(duì)于股票資產(chǎn)定價(jià)具有解釋效果。
[Abstract]:With the development of the capital market, the issue of stock yield is paid more and more attention by the financial field, the financial field and even the general public. Asset pricing theory plays a very important role in this process. However, the traditional pricing model ignores liquidity factors. It is difficult to explain the imperfect real stock market. It has become a hot topic for scholars at home and abroad to incorporate liquidity into the asset pricing model. Because liquidity is regarded as one of the important factors of stock pricing, this paper is based on the background of Shanghai and Shenzhen stock markets. The capital asset pricing model based on liquidity is constructed. Firstly, the research status of liquidity and asset pricing model at home and abroad is reviewed. This paper introduces the definition and dimension characteristics of liquidity, and studies the different types of measurement methods of liquidity. This paper analyzes the characteristics and assumptions of classical capital asset pricing model, arbitrage pricing theory and F- / F three-factor asset pricing model, and then analyzes the pricing mechanism and liquidity characteristics of Shanghai and Shenzhen stock markets. This paper analyzes the influence of liquidity on stock pricing from the stock market as a whole and individual stock. A capital asset pricing model based on liquidity is established, which is the focus of this study. Firstly, the premise and principle of establishing the model are clear. Through the analysis of the hypothesis of the pricing model, the three-factor asset pricing model of F / F is taken as the basic model of the model. Through the analysis of the liquidity characteristics of Shanghai and Shenzhen stock markets, this paper uses the method of comparative analysis to construct a liquidity measurement index that can be applied to the background of Shanghai and Shenzhen stock markets. In the end, the paper makes an empirical study on the LAFF four-factor model by using the A-share data of Shanghai Stock Exchange, and draws the conclusion that the stock return rate is subject to the market at the same time. The combined effect of company size, book to market value ratio, liquidity factors and the model can explain the pricing of stock assets.
【學(xué)位授予單位】：哈爾濱理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.91;F224

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