本文選題：中國市場風(fēng)險溢價　切入點：無風(fēng)險收益率　出處：《華南理工大學(xué)》2013年碩士論文

【摘要】：市場風(fēng)險溢價（Market Risk Premium，簡稱MRP）是金融理論的核心模型——資本資產(chǎn)定價模型（CAPM）中重要的參數(shù)之一，它的大小影響資本成本的大小，并對投資決策等活動產(chǎn)生直接影響。然而，在國內(nèi)外的理論研究和實際應(yīng)用中，MRP的取值差別很大，如Fernandez（2011）研究美國不同領(lǐng)域的人員使用的MRP，結(jié)果表明：在2010年教授使用的MRP平均值為6.0%，分析人員使用的平均值為5.1%，，公司使用的平均值為5.3%；Fernandez（2012）研究82個國家的學(xué)者們在2012年使用的MRP，我國學(xué)者使用的MRP離散程度非常高，僅次于巴西，取值在3.9%-30.0%之間。由此可見，不同人員使用的MRP存在很大的差別。因此，找出MRP產(chǎn)生差異的原因，分析影響MRP的因素，以及選擇一種有效并且適合我國的估測方法，得到我國的MRP，對企業(yè)進(jìn)行業(yè)績評價、價值評估和投資決策等都具有重要意義。 本文首先針對MRP和系統(tǒng)風(fēng)險的關(guān)系找出影響MRP的因素；然后通過統(tǒng)計文獻(xiàn)和訪談的方法分別調(diào)查我國理論研究和實際操作中使用的無風(fēng)險收益率，并圍繞無風(fēng)險資產(chǎn)的特點對備選資產(chǎn)進(jìn)行分析，確定我國無風(fēng)險資產(chǎn)的代表；同時結(jié)合我國股票市場的特點，對估測MRP常用的四種方法進(jìn)行對比分析，選出適合我國的估測方法并改進(jìn)；最后根據(jù)改進(jìn)方法的邏輯步驟估測我國的MRP。 在確定無風(fēng)險收益率時，根據(jù)無風(fēng)險資產(chǎn)的特點確定我國無風(fēng)險資產(chǎn)的代表為記賬式國債，并基于對短期和長期收益率比較的基礎(chǔ)上，選擇一年期記賬式國債到期收益率作為無風(fēng)險收益率的代表，得到我國無風(fēng)險收益率為3.60%。在選取合適的估測方法時，發(fā)現(xiàn)問卷調(diào)查法和橫向調(diào)整法在我國的適用性不強；而歷史性方法和前瞻性方法可以通過改進(jìn)適用于我國。因此，結(jié)合我國股票市場的特點對歷史性方法估測時段的選取進(jìn)行改進(jìn)，對前瞻性方法市場組合的選擇進(jìn)行改進(jìn)，并歸納出邏輯步驟。運用兩種方法的邏輯步驟估測得出我國的MRP分別為6.09%和7.07%，并對MRP的影響因素進(jìn)行分析，確定估測結(jié)果不受影響。 進(jìn)一步對兩種方法的應(yīng)用過程對比分析認(rèn)為：在目前我國股票市場的條件下，兩種方法相輔相成，估測的結(jié)果可相互補充；但隨著股票市場的不斷發(fā)展、股利政策的不斷完善，前瞻性方法得到的結(jié)果用以表示投資者要求的MRP更為合理。
[Abstract]:Market Risk Premium (MRP) is one of the most important parameters in the capital asset pricing model, which is the core model of financial theory. Its size affects the cost of capital and has a direct impact on the investment decision and other activities. The value of MRP is very different in the theoretical research and practical application at home and abroad. For example, the MRP used by researchers in different fields of the United States was studied in January 2011. The results show that in 2010, professors used an average of 6.0, analysts used an average of 5.1, and companies used an average of 5.3Fernandez.) in 2012, scholars from 82 countries studied. The dispersion of MRP used by Chinese scholars is very high. Second only to Brazil, the value is between 3.9% and 30.0%. It can be seen that there are great differences in the MRP used by different people. Therefore, find out the reasons for the difference in MRP, analyze the factors that affect MRP, and choose an effective and suitable estimation method for our country. It is of great significance to get MRP of our country, such as performance evaluation, value evaluation and investment decision. In this paper, we first find out the factors that influence the relationship between MRP and system risk, and then investigate the risk-free rate of return used in theoretical research and practical operation in China by means of statistical literature and interviews. According to the characteristics of the risk-free assets, the author analyzes the alternative assets and determines the representative of the risk-free assets in China. At the same time, combined with the characteristics of the stock market in China, the paper makes a comparative analysis of the four methods commonly used to estimate the MRP. The estimation method suitable for our country is selected and improved. Finally, the MRP of our country is estimated according to the logical steps of the improved method. In determining the risk-free rate of return, according to the characteristics of risk-free assets, the representative of China's risk-free assets is accounting treasury bonds, and on the basis of the comparison of short-term and long-term rates of return, Choosing the maturity rate of one-year bookkeeping treasury bonds as the representative of risk-free rate of return, the risk-free rate of return is 3.60%. When we select the appropriate estimation method, we find that the applicability of questionnaire survey method and lateral adjustment method is not strong in our country. Historical methods and forward-looking methods can be applied to China through improvement. Therefore, according to the characteristics of China's stock market, the selection of historical methods to estimate the period of time is improved, and the choice of market combination of forward-looking methods is improved. The MRP of China is estimated to be 6.09% and 7.07, respectively, and the influencing factors of MRP are analyzed to ensure that the estimated results are not affected. Furthermore, the comparative analysis of the application process of the two methods shows that the two methods complement each other under the current conditions of the stock market in China, and the estimated results can complement each other; however, with the continuous development of the stock market, With the improvement of dividend policy, the result of forward-looking method is more reasonable for investors to demand MRP.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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