本文選題：均值-方差理論 + FF三因素模型��； 參考：《華中師范大學(xué)》2013年碩士論文

【摘要】：從有效市場(chǎng)假說出發(fā),Markowitz在十九世紀(jì)五十年代建立了資產(chǎn)組合理論,奠定了現(xiàn)代金融理論的基礎(chǔ)。隨后,Sharpe(1964、Lintner(1965)以及Mossin(1966)分別獨(dú)立發(fā)展了資本資產(chǎn)定價(jià)模型(CAPM)。他們認(rèn)為,“資產(chǎn)收益率的差異來源于不同資產(chǎn)所承擔(dān)的風(fēng)險(xiǎn)的差異,資產(chǎn)的收益越高就意味著其包含的風(fēng)險(xiǎn)越大”。CAPM有著極為嚴(yán)格的假設(shè)條件,因此在上世紀(jì)八十年代,其受到越來越多的實(shí)證研究的挑戰(zhàn),包括規(guī)模效應(yīng)、長期反轉(zhuǎn)效應(yīng)、價(jià)值溢價(jià)效應(yīng)和異質(zhì)風(fēng)險(xiǎn)效應(yīng)等“異象”,使得傳統(tǒng)的CAPM理論失去了對(duì)市場(chǎng)收益的解釋力。對(duì)此,Fama, French(1990,1992)首次將規(guī)模風(fēng)險(xiǎn)和價(jià)值風(fēng)險(xiǎn)作為風(fēng)險(xiǎn)因子,建立了著名的三因素模型。其以市場(chǎng)風(fēng)險(xiǎn)為系統(tǒng)性風(fēng)險(xiǎn),而規(guī)模風(fēng)險(xiǎn)和價(jià)值風(fēng)險(xiǎn)為單個(gè)證券或投資組合的特征風(fēng)險(xiǎn),在實(shí)證領(lǐng)域取得了較好的效果。 本文參照Fama-French的三因素模型,在分組指標(biāo)選擇方面加以補(bǔ)充改進(jìn),采用股票歷史貝塔值、異質(zhì)風(fēng)險(xiǎn)、股票價(jià)格和公司規(guī)模四種模式進(jìn)行投資組合構(gòu)建,分別對(duì)上海股票市場(chǎng)和深圳股票市場(chǎng)單獨(dú)進(jìn)行了零貝塔形式的CAPM檢驗(yàn)。實(shí)證結(jié)果表明：①在整個(gè)樣本區(qū)間上,利用傳統(tǒng)的歷史貝塔分組方法可以得到上海和深圳股票綜合指數(shù)均值-方差有效的結(jié)論。②滬深兩市關(guān)于CAPM回歸估計(jì)結(jié)果有所差異,相對(duì)于滬市,深市樣本組合回歸結(jié)果有更高的可決系數(shù),采用零β形式的CAPM更能解釋深圳證券市場(chǎng)股票的歷史收益。③CAPM可有效地解釋滬市和深市的市場(chǎng)風(fēng)險(xiǎn)溢價(jià)。④滬市和深市均存在規(guī)模效應(yīng)和“價(jià)格效應(yīng)”,小規(guī)模低價(jià)格的投資組合擁有更高的預(yù)期超額收益,深市還存在一定程度的異質(zhì)波動(dòng)風(fēng)險(xiǎn)溢價(jià),預(yù)期超額收益隨異質(zhì)波動(dòng)風(fēng)險(xiǎn)增加而減少。 本文還利用引入流動(dòng)性補(bǔ)償因子的改進(jìn)FF因素模型驗(yàn)證了以上結(jié)果,通過對(duì)相較于零β組合的超額收益與各溢價(jià)因子進(jìn)行分析研究,發(fā)現(xiàn)滬市和深市的結(jié)論并不一致。滬市規(guī)模效應(yīng)和“價(jià)格效應(yīng)”等橫截面異象完全可以由規(guī)模補(bǔ)償效應(yīng)、價(jià)值溢價(jià)因子和流動(dòng)性補(bǔ)償因子解釋。而對(duì)深圳證券市場(chǎng)而言,異質(zhì)風(fēng)險(xiǎn)溢出可以由規(guī)模補(bǔ)償因子和流動(dòng)性溢價(jià)因子所解釋,“價(jià)格效應(yīng)”主要由規(guī)模補(bǔ)償效應(yīng)造成,而流動(dòng)性溢價(jià)效應(yīng)并不是規(guī)模報(bào)酬溢出的成因。最后,本文利用該模型進(jìn)行了成份股周收益率樣本內(nèi)可預(yù)測(cè)性研究,結(jié)果發(fā)現(xiàn)該模型在經(jīng)濟(jì)上是顯著的,同時(shí)深市比滬市有更強(qiáng)的可預(yù)測(cè)性。以上實(shí)證結(jié)果對(duì)于中國股市中股票收益的預(yù)測(cè)、超額收益的影響因素討論、資本資產(chǎn)定價(jià)等問題的研究具有一定的現(xiàn)實(shí)意義。
[Abstract]:Starting from the efficient market hypothesis, Markowitz established the portfolio theory in the 1850s, which laid the foundation of the modern financial theory. Then Sharpex 1964Lintnerin1965and Mossinn 1966developed the capital asset pricing model CAPMN separately. In their view, "the difference in return on assets stems from the differences in risk taken by different assets, and the higher the return on an asset means the greater the risk it contains." CAPM has extremely strict assumptions, so in the 1980s, It is challenged by more and more empirical studies, including scale effect, long-term reversal effect, value premium effect and heterogeneous risk effect, which makes the traditional CAPM theory lose its explanatory power to market returns. For this reason, fama, French 1990 / 1992), for the first time, takes the scale risk and the value risk as the risk factors, and establishes a famous three-factor model. It takes market risk as systematic risk, while scale risk and value risk are characteristic risk of single securities or portfolio, which has achieved good results in empirical field. According to the three-factor model of Fama-French, this paper supplements and improves on the selection of grouping index, and adopts four models of historical beta value, heterogeneous risk, stock price and company size to construct the portfolio. The CAPM test of zero beta form is carried out separately in Shanghai stock market and Shenzhen stock market. The empirical results show that using the traditional historical Beta grouping method, we can get the conclusion that the average variance of the composite index of Shanghai and Shenzhen stock market is effective. 2 the CAPM regression estimation results of Shanghai and Shenzhen stock markets are different. Compared with Shanghai stock market, the regression result of Shenzhen sample combination has higher determinability coefficient. Using zero 尾 CAPM can explain the historical return of Shenzhen stock market. 3CAPM can effectively explain the market risk premium of Shanghai stock market and Shenzhen stock market. 4. The scale effect and "price effect" exist in both Shanghai and Shenzhen stock markets. The small and low price portfolio has higher expected excess return, and there is a certain degree of heterogeneity volatility risk premium in Shenzhen market. The expected excess return decreases with the increase of heterogeneous volatility risk. In this paper, the improved FF factor model with liquidity compensation factor is used to verify the above results. Through the analysis of excess return and premium factors compared with zero 尾 combination, it is found that the conclusions of Shanghai Stock Exchange and Shenzhen Stock Exchange are not consistent. The cross-sectional anomalies such as scale effect and "price effect" in Shanghai stock market can be explained by scale compensation effect, value premium factor and liquidity compensation factor. For Shenzhen stock market, heterogeneous risk spillover can be explained by scale compensation factor and liquidity premium factor. "Price effect" is mainly caused by scale compensation effect, and liquidity premium effect is not the cause of scale reward spillover. Finally, this paper uses the model to study the predictability in the component stock weekly return sample. The results show that the model is significant in economy, and the Shenzhen stock market is more predictable than Shanghai stock market. The above empirical results are of practical significance to the prediction of stock returns in Chinese stock market, the discussion of influencing factors of excess returns, and the pricing of capital assets.
【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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