發(fā)布時(shí)間：2018-04-17 04:37

  本文選題：資本資產(chǎn)定價(jià)模型 + 行為資產(chǎn)定價(jià)模型　； 參考：《上海交通大學(xué)》2013年碩士論文

【摘要】：盡管以有效市場假說為基石的標(biāo)準(zhǔn)金融學(xué)理論一直以來占據(jù)統(tǒng)治地位，認(rèn)為有效市場上的所有證券都是被有效定價(jià)的，市場上即使出現(xiàn)價(jià)格與價(jià)值的偏離也是短暫的，市場上有效套利者的存在會(huì)驅(qū)使價(jià)格回歸到證券的內(nèi)在價(jià)值水平，即不會(huì)存在長時(shí)間異常超額收益，市場上的風(fēng)險(xiǎn)回報(bào)都是由系統(tǒng)風(fēng)險(xiǎn)引起的。然而，眾多的事實(shí)以及實(shí)證研究表明，CAPM模型在實(shí)踐中無法解釋所有收益的。 行為金融學(xué)認(rèn)為市場上的投資者并非都是理性的，認(rèn)為投資者的價(jià)值觀、社會(huì)地位、生活方式、情緒波動(dòng)等都會(huì)影響資產(chǎn)的定價(jià)。當(dāng)非理性投資者占據(jù)一定規(guī)模時(shí)，他們就會(huì)有可能給證券市場帶來額外的風(fēng)險(xiǎn)，這種風(fēng)險(xiǎn)被稱作噪聲交易風(fēng)險(xiǎn)。Shefrin和Statman(1994)提出了基于噪聲交易理論的行為資產(chǎn)定價(jià)模型(BAPM)，該模型引入噪聲交易風(fēng)險(xiǎn)，認(rèn)為市場證券的定價(jià)是由信息交易者和噪聲交易者共同決定的，從而奠定了行為資產(chǎn)定價(jià)模型發(fā)展的基礎(chǔ)。然而BAPM理論前提是構(gòu)造有效的行為市場組合，由于投資者情緒的變化性，這給BAPM的實(shí)證研究帶來了困難。 本文參考了Vikash Bora Ramiah和Sinclair Davidson(2002)構(gòu)造動(dòng)量指數(shù)的方法來描述市場投資者情緒，但考慮到動(dòng)量指數(shù)的復(fù)雜性以及本文的研究目的，本文采用了上證50指數(shù)來代替動(dòng)量指數(shù)，并以此對(duì)上海證券A股市場的噪聲交易情況作了實(shí)證性分析。通過采用上證A股市場交易數(shù)據(jù)作為研究樣本，本文考察了在三種不同市場行情下CAPM與BAPM模型的適用性差異，結(jié)果發(fā)現(xiàn)“牛市”及“熊市”中BAPM解釋市場收益更為有效，而“平衡市”中CAPM更為適用。 最后，本文基于我國股市噪聲交易者活躍的特征，提出了利用行為資產(chǎn)定價(jià)理論對(duì)上市公司價(jià)值評(píng)估模型進(jìn)行修正的可行性，，因?yàn)樵谝粋�(gè)充斥大量噪聲交易者的市場中，基于行為資產(chǎn)定價(jià)理論的估值模型更有利于發(fā)現(xiàn)公司內(nèi)在價(jià)值，指導(dǎo)投資行為。所以本文結(jié)合了具體案例進(jìn)行了實(shí)證性分析和檢驗(yàn)，結(jié)果發(fā)現(xiàn)基于行為貝塔的絕對(duì)估值符合行為資產(chǎn)理論預(yù)期，驗(yàn)證了其應(yīng)用的合理性。
[Abstract]:Although the standard financial theory, which is based on the efficient market hypothesis, has always dominated, it is believed that all securities in the efficient market are effectively priced, and even the deviation between price and value in the market is short-lived.The existence of effective arbitrage in the market will drive the price back to the intrinsic value level of the securities, that is, there will be no abnormal excess returns for a long time, and the return on risk in the market is all caused by systematic risk.However, many facts and empirical studies show that CAPM model can not explain all the benefits in practice.Behavioral finance believes that investors in the market are not all rational, that investors' values, social status, lifestyle, emotional fluctuations will affect the pricing of assets.When irrational investors occupy a certain size, they have the potential to bring additional risk to the securities market.This kind of risk is called noise trading risk. Shefrin and Statmann 1994) put forward a behavioral asset pricing model based on noise trading theory. This model introduces noise trading risk and holds that the pricing of market securities is determined by information traders and noise traders.Thus, it lays the foundation for the development of behavioral asset pricing model.However, the premise of BAPM theory is to construct an effective behavioral market portfolio, which brings difficulties to the empirical research of BAPM due to the variability of investor sentiment.In this paper, we refer to the method of constructing momentum index by Vikash Bora Ramiah and Sinclair Davidsonian 2002.But considering the complexity of momentum index and the purpose of this paper, we use the Shanghai Stock Exchange 50 index instead of momentum index.Based on this, the paper makes a positive analysis of the noise trading in Shanghai A-share market.By using the trading data of Shanghai A-share market as the research sample, this paper investigates the applicability differences between CAPM and BAPM models under three different market prices. The results show that BAPM is more effective in explaining market returns in "bull market" and "bear market".CAPM is more applicable in balanced markets.Finally, based on the active characteristics of noise traders in China's stock market, this paper puts forward the feasibility of modifying the valuation model of listed companies by using behavioral asset pricing theory, because in a market full of noise traders,The valuation model based on behavioral asset pricing theory is more helpful to discover the intrinsic value of the company and guide the investment behavior.So this paper combines the concrete case to carry on the positive analysis and the test, the result shows that the absolute valuation based on Behavioral Beta accords with the behavior assets theory expectation, and verifies the rationality of its application.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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本文編號(hào)：1762125