【摘要】：有效市場(chǎng)假說(shuō)(EMH)認(rèn)為,一個(gè)有效的市場(chǎng)總能立即充分、準(zhǔn)確地反映所有的信息。但是大量實(shí)證研究發(fā)現(xiàn),現(xiàn)實(shí)的金融市場(chǎng)并不是這樣的,對(duì)違背有效市場(chǎng)假說(shuō)(EMH)和傳統(tǒng)的資本資產(chǎn)定價(jià)模型(CAPM)的現(xiàn)象,我們稱(chēng)其為“異常”,這也正反映出傳統(tǒng)的方法在模型構(gòu)建和估計(jì)方法上存在著問(wèn)題。因此,合理分析“異�！爆F(xiàn)象,從而找到適合現(xiàn)實(shí)金融市場(chǎng)的資本資產(chǎn)定價(jià)方式是一個(gè)非常值得關(guān)注的重要研究方向。 本文針對(duì)出現(xiàn)“異�！爆F(xiàn)象的核心原因——模型的構(gòu)建問(wèn)題和傳統(tǒng)的回歸方法的缺陷進(jìn)行了詳細(xì)分析,并由此提出了基于換手率的多因素模型,同時(shí)針對(duì)傳統(tǒng)回歸方法的缺陷,將分位數(shù)回歸方法運(yùn)用到股票截面收益率的研究中。本文的創(chuàng)新之處如下： 首先,在Fama和French(1993)的三因素模型的基礎(chǔ)上,引入換手率作為一個(gè)新的解釋變量,得到基于換手率的多因素模型。通過(guò)針對(duì)我國(guó)深市A股的實(shí)證分析,發(fā)現(xiàn)換手率與截面收益率的相關(guān)性為正,而且相比其他解釋變量更加顯著。 其次,用Koenker和Bassett(1978)提出的分位數(shù)回歸方法代替?zhèn)鹘y(tǒng)的均值回歸方法,更適應(yīng)現(xiàn)實(shí)的復(fù)雜金融市場(chǎng),分位數(shù)回歸方法不僅可以研究在均值處風(fēng)險(xiǎn)因子對(duì)截面收益率的影響,而且還可以研究在收益率的條件分布上其它任何一點(diǎn)處風(fēng)險(xiǎn)因子對(duì)截面收益率的影響,這就使得研究更加全面完整。
[Abstract]:The efficient Market hypothesis (EMH) argues that an efficient market always reflects all information in a sufficient and accurate manner. However, a large number of empirical studies have found that this is not the case in real financial markets. We call this phenomenon "abnormal" when it goes against the efficient Market hypothesis (EMH) and the traditional capital asset pricing model (CAPM). This also reflects the problems of traditional methods in model building and estimation. Therefore, it is an important research direction to analyze the phenomenon of "anomaly" reasonably and find the capital asset pricing method suitable for the real financial market. In this paper, the core cause of "abnormal" phenomenon, the construction of the model and the defects of the traditional regression method, are analyzed in detail, and the multi-factor model based on the turnover rate is put forward, and the defects of the traditional regression method are also pointed out. The quantile regression method is applied to the research of stock cross section return. The innovations of this paper are as follows: firstly, based on the three-factor model of Fama and French (1993), the turnover rate is introduced as a new explanatory variable, and the multi-factor model based on the turnover rate is obtained. Based on the empirical analysis of A-shares in Shenzhen Stock Exchange, it is found that the correlation between turnover rate and cross-section return is positive, and it is more significant than other explanatory variables. Secondly, using the quantile regression method proposed by Koenker and Bassett (1978) to replace the traditional mean regression method, it is more suitable for the complex financial market. The quantile regression method can not only study the effect of risk factors at the mean value on the cross-section return. Moreover, we can study the effect of risk factors on the cross-section return rate at any other point in the conditional distribution of the return rate, which makes the research more comprehensive and complete.
【學(xué)位授予單位】：青島大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 周鑫;資本資產(chǎn)定價(jià)模型及其擴(kuò)展模型的實(shí)證比較研究[D];貴州財(cái)經(jīng)大學(xué);2013年

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本文編號(hào)：2146840