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  本文關(guān)鍵詞：三因子模型在滬深A股市場的實證研究　出處：《復旦大學》2012年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 三因子模型 系數(shù) 穩(wěn)定性 Kendall協(xié)同系數(shù)

【摘要】：目前,在國外特別是美國,Fama-French三因子模型已被大多數(shù)人所接受,并被廣泛應(yīng)用于收益率預測、風險管理、基金業(yè)績評價等各個方面。 由于中國證券市場的出現(xiàn)晚于西方國家上百年,中國證券市場存在著投機跟風嚴重、信息披露不透明、信息失真等不成熟市場所具有的特點。因此以西方成熟市場為基礎(chǔ)的Fama-French三因子模型在中國證券市場的適用性受到了學者們的質(zhì)疑。過去許多學者對Fama-French三因子模型在中國證券市場是否適用做過很多相關(guān)研究,但得到了一些不同的結(jié)論。本文在擴大樣本的基礎(chǔ)上,選取的數(shù)據(jù)包括滬深A股市場全部上市公司(除創(chuàng)業(yè)板),數(shù)據(jù)樣本區(qū)間為1995年5月到2011年12月,檢驗了Fama-French三因子模型在中國證券市場上是適用的。 另外,本文還對三因子模型的回歸系數(shù)進行了分析。(1)利用肯德爾和諧系數(shù)(Kendall's Coefficient of Concordance)檢驗方法研究,發(fā)現(xiàn)SMB系數(shù)s和HML系數(shù)h具有多期排序穩(wěn)定性；市場因子(RM-RF)的系數(shù)的多期排序穩(wěn)定性弱于SMB系數(shù)s和HML系數(shù)h。(2)市場組合(RM-RF)的回歸系數(shù)b幾乎不可能小于0,因此我們很難在中國這個賣空不太容易的市場上,通過投資分散化來完全消除市場因子(RM-RF)的風險,但我們可以盡量做到消除風險因子SMB、HML的影響。(3)使用日收益率數(shù)據(jù)比月收益率數(shù)據(jù)更能使回歸系數(shù)穩(wěn)定。(4)總的來說,特別是對于風險因子SMB的回歸系數(shù)s和風險因子HML的回歸系數(shù)h,增加股票組合中所含股票的數(shù)目會使回歸系數(shù)的預測結(jié)果更加穩(wěn)健。(5)按照回歸系數(shù)的大小排列形成的投資組合,其組合的回歸系數(shù)存在著均值回復的特征,特別是對于當期回歸系數(shù)最大的那個組合,下期的回歸系數(shù)會下降很多,但是回歸系數(shù)的排序幾乎不發(fā)生變化。
[Abstract]:At present, especially in the US, Fama-French three factor model has been accepted by most people, and has been widely applied in various aspects, such as yield prediction, risk management, fund performance evaluation and so on.
Due to the emergence of Chinese stock market later than in western countries for hundreds of years, China securities market there is speculation to follow suit serious, transparent information disclosure, information distortion and immature market features. Therefore the applicability based on Western markets Fama-French three factor model in China stock market has been questioned by scholars. In the past many scholars on whether the Fama-French three factor model is done a lot of related research in the Chinese securities market, but there have been some different conclusions. In this paper, on the basis of the sample expansion, the selected data including Shanghai and Shenzhen A stock market listed companies (except the GEM), data sample interval from May 1995 to December 2011, inspection Fama-French the three factor model is applicable in China securities market.
In addition, the regression coefficient in the three factor model is analyzed. (1) by Kendall (Kendall's Coefficient of coefficient Concordance) test method, SMB coefficient s and HML coefficient h with multi period scheduling stability; market factor (RM-RF) coefficients of multi period sequence stability coefficient s and weaker than SMB HML coefficient h. (2) market portfolio (RM-RF) regression coefficient B can hardly be less than 0, so it is difficult for us in this is not easy Chinese short selling on the market, through the diversification of investment to completely eliminate market risk factor (RM-RF), but we can try to eliminate the risk factor of SMB, the influence of HML. (3) the use of daily return data than the monthly return data to make regression coefficient stability. (4) in general, especially for the regression coefficients of risk factors SMB regression coefficient s and risk factors of HML h, increase the stock portfolio contained in stock The number of votes will make the prediction of regression coefficients results more robust. (5) according to the size of the regression coefficient are arranged to form a portfolio, the regression coefficient combination exists characteristics of mean reversion, especially for the combination of the current regression coefficient is the largest, the number of regression lines next will drop a lot, but the sort of regression coefficient there is almost no change.

【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

【引證文獻】

相關(guān)碩士學位論文 前6條

1 王博然;深圳創(chuàng)業(yè)板市場的Fama-French三因素模型適用性研究[D];中國海洋大學;2015年

2 顏帥伍;基于Fama-French三因子模型的中國上市公司并購績效研究[D];貴州財經(jīng)大學;2015年

3 盧宗貝;我國滬深A股投資收益率影響因子的實證研究[D];華東政法大學;2015年

4 柳振;我國地產(chǎn)股定價的模型適用性分析[D];安徽財經(jīng)大學;2015年

5 曾佳輝;基于Fama-French模型的A股市場交易策略研究[D];上海師范大學;2014年

6 吳賽倫;F-F模型定價因子與宏觀變量相關(guān)性的實證檢驗[D];河北經(jīng)貿(mào)大學;2013年

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本文編號：1388844