【摘要】：傳統(tǒng)的投資組合理論和CAPM模型認(rèn)為，特質(zhì)風(fēng)險(xiǎn)可以通過分散化投資而規(guī)避掉，然而，現(xiàn)實(shí)中由于交易成本、風(fēng)險(xiǎn)偏好等因素的影響，投資者并無法進(jìn)行很好的分散化投資，從而不得不承擔(dān)特質(zhì)風(fēng)險(xiǎn)。本文正是在這樣的背景下，從特質(zhì)風(fēng)險(xiǎn)問題出發(fā)，在系統(tǒng)歸納和總結(jié)關(guān)于特質(zhì)風(fēng)險(xiǎn)的理論和實(shí)證研究的基礎(chǔ)上，通過研究特質(zhì)風(fēng)險(xiǎn)與預(yù)期收益、投資者行為的關(guān)系，結(jié)合行為金融學(xué)的相關(guān)結(jié)論，構(gòu)建了基于特質(zhì)風(fēng)險(xiǎn)的股票市場(chǎng)投資策略，即低特質(zhì)風(fēng)險(xiǎn)的股票采取動(dòng)量策略，高特質(zhì)風(fēng)險(xiǎn)的股票采取反轉(zhuǎn)策略。本文得到主要研究結(jié)論如下： 首先，本文研究了特質(zhì)風(fēng)險(xiǎn)與預(yù)期收益的關(guān)系。通過公式和模型推導(dǎo)得出基于特質(zhì)風(fēng)險(xiǎn)的定價(jià)模型，模型表明股票的預(yù)期收益不僅受系統(tǒng)性風(fēng)險(xiǎn)的影響，還受特質(zhì)風(fēng)險(xiǎn)的影響，從理論上證明了特質(zhì)風(fēng)險(xiǎn)可以得到定價(jià)。然后，本文采用能夠刻畫波動(dòng)率時(shí)序特征的EGARCH模型來估計(jì)特質(zhì)風(fēng)險(xiǎn)，以橫截面回歸分析和投資組合分析為實(shí)證研究方法，研究得出特質(zhì)風(fēng)險(xiǎn)與預(yù)期收益之間存在顯著的正相關(guān)關(guān)系，且在不同的時(shí)間區(qū)間都穩(wěn)定的存在，研究表明我國(guó)股市并不存在所謂的“特質(zhì)波動(dòng)率之謎”，造成這種異象的根本原因在于忽視了特質(zhì)波動(dòng)率的時(shí)間序列屬性。 其次，本文研究了機(jī)構(gòu)投資者行為對(duì)于特質(zhì)風(fēng)險(xiǎn)及其風(fēng)險(xiǎn)溢酬的影響。本文通過實(shí)證研究發(fā)現(xiàn)，機(jī)構(gòu)的大量持股有助于降低股票的特質(zhì)風(fēng)險(xiǎn)，機(jī)構(gòu)持股比例增加，股票的特質(zhì)波動(dòng)率減少，，機(jī)構(gòu)投資者持股比例越低的股票，特質(zhì)風(fēng)險(xiǎn)越大，股票預(yù)期收益越多。文章從機(jī)構(gòu)持股的角度分析和探討特質(zhì)風(fēng)險(xiǎn)與預(yù)期收益的關(guān)系，進(jìn)一步指出投資分散化的重要性，并認(rèn)為投資者無法充分分散化投資是導(dǎo)致特質(zhì)風(fēng)險(xiǎn)正向定價(jià)的原因。 最后，本文結(jié)合行為金融學(xué)的相關(guān)理論和特質(zhì)風(fēng)險(xiǎn)的相關(guān)結(jié)論，構(gòu)建了基于特質(zhì)風(fēng)險(xiǎn)的股票市場(chǎng)投資策略。通過基于特質(zhì)風(fēng)險(xiǎn)的動(dòng)量效應(yīng)和反轉(zhuǎn)效應(yīng)分析，發(fā)現(xiàn)特質(zhì)風(fēng)險(xiǎn)越高的股票，其反轉(zhuǎn)效應(yīng)越明顯，因此得出這樣一個(gè)投資策略，即對(duì)低特質(zhì)風(fēng)險(xiǎn)的股票采取動(dòng)量策略，對(duì)高特質(zhì)風(fēng)險(xiǎn)的股票采取反轉(zhuǎn)策略，經(jīng)過歷史數(shù)據(jù)測(cè)試后，能夠明顯的跑贏基準(zhǔn)指數(shù)。
[Abstract]:According to traditional portfolio theory and CAPM model, trait risk can be avoided by diversification. However, due to the influence of transaction cost, risk preference and other factors, investors can not make a good diversification investment. So they have to take the risk of idiosyncrasies. It is under this background that this paper starts from the problem of trait risk, on the basis of systematically summarizing and summarizing the theoretical and empirical research on trait risk, through the study of the relationship between trait risk and expected income, investor behavior, and so on. Based on the relevant conclusions of behavioral finance, this paper constructs a stock market investment strategy based on trait risk, that is, stocks with low trait risk adopt momentum strategy and stocks with high trait risk adopt reverse strategy. The main conclusions are as follows: firstly, this paper studies the relationship between trait risk and expected return. The pricing model based on idiosyncratic risk is derived by formula and model. The model shows that the expected return of stock is affected not only by systematic risk, but also by idiosyncratic risk, which proves theoretically that idiosyncratic risk can be priced. Then, we use EGARCH model, which can describe volatility time series, to estimate trait risk. Cross section regression analysis and portfolio analysis are used as empirical research methods. The study shows that there is a significant positive correlation between trait risk and expected return, and it is stable in different time intervals. The study shows that there is no so-called "trait volatility puzzle" in China's stock market. The fundamental reason for this anomaly lies in the neglect of the time series attribute of the idiosyncratic volatility. Secondly, this paper studies the influence of institutional investor behavior on trait risk and risk overpayment. Through empirical research, this paper finds that a large number of institutional holdings can help to reduce the specific risk of the stock, the increase of institutional ownership ratio, the decrease of the volatility of the stock, the lower the proportion of institutional investors, the greater the specific risk. The more stocks are expected to return. This paper analyzes and discusses the relationship between trait risk and expected income from the perspective of institutional shareholding, further points out the importance of diversification, and points out that investors' inability to fully diversify their investment is the reason leading to positive pricing of idiosyncratic risk. Finally, based on the theory of behavioral finance and the conclusion of trait risk, this paper constructs a stock market investment strategy based on idiosyncratic risk. Through the analysis of momentum effect and reversal effect based on trait risk, it is found that the higher the trait risk is, the more obvious the reverse effect is. Adopting reverse strategy for high trait risk stocks can outperform benchmark index obviously after historical data test.
【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 楊華蔚;韓立巖;;中國(guó)股票市場(chǎng)特質(zhì)波動(dòng)率與橫截面收益研究[J];北京航空航天大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2009年01期

2 馬超群,張浩;中國(guó)股市價(jià)格慣性反轉(zhuǎn)與風(fēng)險(xiǎn)補(bǔ)償?shù)膶?shí)證研究[J];管理工程學(xué)報(bào);2005年02期

3 黃波;李湛;顧孟迪;;基于風(fēng)險(xiǎn)偏好資產(chǎn)定價(jià)模型的公司特質(zhì)風(fēng)險(xiǎn)研究[J];管理世界;2006年11期

4 蘇冬蔚,麥元?jiǎng)?流動(dòng)性與資產(chǎn)定價(jià):基于我國(guó)股市資產(chǎn)換手率與預(yù)期收益的實(shí)證研究[J];經(jīng)濟(jì)研究;2004年02期

5 吳世農(nóng),許年行;資產(chǎn)的理性定價(jià)模型和非理性定價(jià)模型的比較研究——基于中國(guó)股市的實(shí)證分析[J];經(jīng)濟(jì)研究;2004年06期

6 祁斌;黃明;陳卓思;;機(jī)構(gòu)投資者與股市波動(dòng)性[J];金融研究;2006年09期

7 胡大春;金賽男;;基金持股比例與A股市場(chǎng)收益波動(dòng)率的實(shí)證分析[J];金融研究;2007年04期

8 游家興;;誰反應(yīng)過度，誰反應(yīng)不足——投資者異質(zhì)性與收益時(shí)間可預(yù)測(cè)性分析[J];金融研究;2008年04期

9 左浩苗;鄭鳴;張翼;;股票特質(zhì)波動(dòng)率與橫截面收益:對(duì)中國(guó)股市“特質(zhì)波動(dòng)率之謎”的解釋[J];世界經(jīng)濟(jì);2011年05期

10 徐小君;;公司特質(zhì)風(fēng)險(xiǎn)、投資期權(quán)與股票收益[J];山西財(cái)經(jīng)大學(xué)學(xué)報(bào);2010年12期

本文編號(hào)：2237257