【摘要】：橫截面收益異象是在股票市場(chǎng)中廣泛存在的現(xiàn)象。大量針對(duì)世界各國(guó)股票市場(chǎng)的研究發(fā)現(xiàn),與公司基本面相關(guān)的特征變量,包括公司規(guī)模(ME)、賬面市值比(BE/ME)和盈余價(jià)格比(E/P)等能解釋公司股票未來的收益率,具有相近特征值的公司的股票價(jià)格往往表現(xiàn)出同向的變化。這與有效市場(chǎng)假說(EMH)和資本資產(chǎn)定價(jià)模型(CAPM)相悖。因此,許多學(xué)者致力于橫截面收益現(xiàn)象及形成原因的研究,試圖用現(xiàn)代金融理論和行為金融理論來解釋橫截面收益現(xiàn)象。 橫截面收益現(xiàn)象的研究告訴我們,利用某些特征值構(gòu)建出的股票組合具有溢價(jià)效應(yīng),因而可以獲得超額收益。本文以此為出發(fā)點(diǎn),首先對(duì)中國(guó)股票市場(chǎng)的橫截面收益現(xiàn)象進(jìn)行驗(yàn)證,包括橫截面收益現(xiàn)象的存在性、顯著性、穩(wěn)定性以及演變規(guī)律。進(jìn)而根據(jù)特征變量構(gòu)建組合,考察組合在各期間的表現(xiàn)。最后探討優(yōu)化組合收益率的方法。本文選取流通市值和賬面市值比兩個(gè)特征變量,對(duì)2006年6月-2011年5月期間中國(guó)股票市場(chǎng)橫截面收益現(xiàn)象的存在性以及顯著性進(jìn)行實(shí)證檢驗(yàn)后發(fā)現(xiàn),規(guī)模效應(yīng)存在并且是顯著的,而價(jià)值效應(yīng)存在但并不顯著。以行業(yè)配置選股為目的,進(jìn)而考察了房地產(chǎn)板塊的橫截面收益現(xiàn)象,結(jié)果發(fā)現(xiàn)規(guī)模效應(yīng)和價(jià)值效應(yīng)都存在,但是均不顯著。最后從組合調(diào)整頻率和權(quán)重的分配角度對(duì)組合的優(yōu)化進(jìn)行探索：分析組合收益率隨調(diào)整頻率變化的規(guī)律,進(jìn)而論證了最優(yōu)調(diào)整頻率的存在；試圖調(diào)整權(quán)重分配來提高組合收益率,并探討了此方法改善組合收益率的局限性。
[Abstract]:Cross-sectional income anomaly is a widespread phenomenon in the stock market. A large number of studies on stock markets around the world have found that characteristic variables related to corporate fundamentals, including firm size (ME), Book-to-market ratio (BE/ME) and earnings-price ratio (E / P) can explain the future return of a company's stock, and the stock price of a company with similar eigenvalues tends to change in the same direction. This is contrary to the efficient market hypothesis (EMH) and the capital asset pricing model (CAPM). Therefore, many scholars are devoted to the study of cross-sectional income phenomenon and its formation, trying to explain the cross-sectional return phenomenon by modern financial theory and behavioral financial theory. The study of cross-sectional return phenomenon tells us that the stock portfolio constructed by using some characteristic values has a premium effect, so the excess return can be obtained. Taking this as a starting point, this paper first verifies the cross-section return phenomenon of Chinese stock market, including the existence, significance, stability and evolution of cross-section return phenomenon. Then the combination is constructed according to the characteristic variables, and the performance of the combination in each period is investigated. Finally, the method of optimizing portfolio yield is discussed. This paper selects two characteristic variables, circulation market value and book market value ratio, and empirically tests the existence and significance of cross-sectional returns in Chinese stock market from June 2006 to May 2011. Scale effect exists and is significant, but value effect exists but not significant. For the purpose of industry allocation and stock selection, the cross-sectional income phenomenon of the real estate sector is investigated. The results show that both the scale effect and the value effect exist, but they are not significant. Finally, the optimization of portfolio is explored from the angle of distribution of combination adjustment frequency and weight: analyzing the rule of portfolio yield changing with adjustment frequency, and demonstrating the existence of optimal adjustment frequency; This paper attempts to adjust the weight distribution to improve the portfolio return rate, and discusses the limitations of this method to improve the portfolio return rate.
【學(xué)位授予單位】：復(fù)旦大學(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 陳志國(guó);周穩(wěn)海;;我國(guó)證券市場(chǎng)“末班車現(xiàn)象”與市場(chǎng)有效性的經(jīng)驗(yàn)分析[J];商業(yè)研究;2005年24期

2 葉中行,曹奕劍;Hurst指數(shù)在股票市場(chǎng)有效性分析中的應(yīng)用[J];系統(tǒng)工程;2001年03期

3 戴曉鳳;楊軍;張清海;;中國(guó)股票市場(chǎng)的弱式有效性檢驗(yàn):基于單位根方法[J];系統(tǒng)工程;2005年11期

4 劉志新,盧妲,黃昌利;中國(guó)股市預(yù)期收益率的橫截面研究[J];經(jīng)濟(jì)科學(xué);2000年03期

5 胡波,宋文力,張宇光;中國(guó)證券市場(chǎng)有效性實(shí)證分析[J];經(jīng)濟(jì)理論與經(jīng)濟(jì)管理;2002年07期

6 譚克,陶欣;上海股市橫截面收益特性的實(shí)證檢驗(yàn)[J];現(xiàn)代經(jīng)濟(jì)探討;2003年05期

7 俞喬;市場(chǎng)有效、周期異常與股價(jià)波動(dòng)——對(duì)上海、深圳股票市場(chǎng)的實(shí)證分析[J];經(jīng)濟(jì)研究;1994年09期

8 吳世農(nóng);我國(guó)證券市場(chǎng)效率的分析[J];經(jīng)濟(jì)研究;1996年04期

9 奉立城;中國(guó)股票市場(chǎng)的“周內(nèi)效應(yīng)”[J];經(jīng)濟(jì)研究;2000年11期

10 張兵,李曉明;中國(guó)股票市場(chǎng)的漸進(jìn)有效性研究[J];經(jīng)濟(jì)研究;2003年01期

相關(guān)博士學(xué)位論文 前1條

1 賀炎林;我國(guó)股市橫截面收益特征及成因研究[D];天津大學(xué);2007年

，

本文編號(hào)：2448875