本文選題：三因子模型 + 股票流動性��； 參考：《寧波大學(xué)》2012年碩士論文

【摘要】：資產(chǎn)定價是金融學(xué)的核心問題之一，其在資產(chǎn)配置和風險控制方面發(fā)揮著重要作用。傳統(tǒng)的資產(chǎn)定價模型（CAPM）自提出以來受到廣泛關(guān)注。但是在實證研究上表現(xiàn)并不理想。在理性定價的框架下，F(xiàn)ama和French提出包括規(guī)模、賬面市值比與市場風險的三因子模型，這一模型對股票市場具有較好的解釋力。傳統(tǒng)CAPM模型假定投資者交易證券對資產(chǎn)價格不產(chǎn)生影響。這一假設(shè)忽略了現(xiàn)實證券市場的流動性風險，將流動性引入資產(chǎn)定價模型具有重要意義。 本文采用2006年1月～2010年12月的滬市A股股票數(shù)據(jù)，以公司規(guī)模、賬面市值比和流動性分組構(gòu)造投資組合，利用CAPM模型、三因子模型和加入股票流動性的四因子模型對組合的超額收益進行實證檢驗。結(jié)果表明：滬市A股市場存在規(guī)模溢價、賬面市值比溢價和流動性溢價現(xiàn)象；市場風險對股票收益率的解釋力有所加強；加入股票流動性的四因子模型比CAPM模型、三因子模型擬合度更高；改進的Amihud非流動性指標和換手率都能較好地刻畫流動性。 由于金融時間序列數(shù)據(jù)存在尖峰厚尾特征，而分位數(shù)回歸方法能夠描述數(shù)據(jù)的局部信息在近來金融問題的研究上得到了廣泛的運用。本文運用分位數(shù)回歸方法，選取Beta系數(shù)、公司規(guī)模、賬面市值比、改進的Amihud非流動性指標和換手率為風險因子，研究滬市A股截面收益率。研究認為：在不同分位數(shù)下風險因子的回歸系數(shù)與顯著性有很大差異，，表明股票收益率在不同分位數(shù)上有不同的依賴形式；分位數(shù)間差異顯著性檢驗表明不同分位數(shù)間風險因子回歸系數(shù)差異統(tǒng)計上顯著。
[Abstract]:Asset pricing is one of the core problems in finance, which plays an important role in asset allocation and risk control. The traditional asset pricing model (CAPMM) has received wide attention since it was put forward. But in the empirical research performance is not ideal. In the framework of rational pricing, Fama and French put forward a three-factor model, which includes scale, book market value ratio and market risk, which has a good explanatory power for the stock market. The traditional CAPM model assumes that investors' trading of securities has no effect on asset prices. This hypothesis ignores the liquidity risk in the real securities market, and it is of great significance to introduce liquidity into the asset pricing model. In this paper, A share stock data of Shanghai Stock Exchange from January 2006 to December 2010 are used to construct a portfolio based on company size, book market value ratio and liquidity grouping. The three-factor model and the four-factor model with stock liquidity are used to test the excess return of portfolio. The results show that there is a scale premium, book market value premium and liquidity premium in A-share market of Shanghai stock market; the explanatory power of market risk to stock yield is strengthened; the four-factor model of stock liquidity is more powerful than market value model. The improved Amihud illiquidity index and turnover rate can well describe the liquidity. Because the financial time series data have the characteristic of peak and thick tail, the quantile regression method can describe the local information of the data and has been widely used in the research of financial problems recently. In this paper, using the quantile regression method, we select Beta coefficient, company size, book market value ratio, improved Amihud illiquidity index and turnover rate as risk factors to study the yield of A-share section in Shanghai stock market. The results show that the regression coefficient of risk factors is different from that of significance under different quantiles, which indicates that stock returns have different forms of dependence on different quantiles. The significant test of quantile difference showed that the difference of regression coefficient of risk factors among different quantiles was statistically significant.
【學(xué)位授予單位】：寧波大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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