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  本文關鍵詞：投資機會變動與風險收益關系實證研究　出處：《管理科學》2012年04期 　論文類型：期刊論文

  更多相關文章： 投資機會 市場風險 跨期風險 風險收益關系

【摘要】：應用跨期資本資產(chǎn)定價模型研究股市投資機會變動時的風險收益關系和跨期風險對沖策略。以25個規(guī)模-賬面市值比組合以及擴展組合作為檢驗資產(chǎn),以經(jīng)濟、情緒和市場指標作為狀態(tài)變量反映投資機會,以DCC-MVGARCH方法估計的資產(chǎn)超額收益與市場超額收益的條件協(xié)方差衡量市場風險,以DCC-MVGARCH方法估計的資產(chǎn)超額收益與狀態(tài)變量新息的條件協(xié)方差衡量跨期風險,應用面板回歸方法檢驗資產(chǎn)超額收益與風險的關系。研究結(jié)果表明,在單狀態(tài)變量中,貨幣供應增長率、房地產(chǎn)投資增長率、宏觀經(jīng)濟景氣指數(shù)、規(guī)模溢價等新息降低,投資機會出現(xiàn)不利變動,與這些新息負相關的資產(chǎn)能對沖投資機會的不利變動;存貸差增長率、利率、股市波動等新息增加時,投資機會出現(xiàn)不利變動,與這些新息正相關的資產(chǎn)能對沖投資機會的不利變動;各模型具有良好的解釋能力,其中規(guī)模溢價、股市波動和貨幣供應的解釋能力較高。還對多狀態(tài)變量進行檢驗、比較,并提供了相應投資策略。
[Abstract]:This paper applies the intertemporal capital asset pricing model to study the risk-return relationship and the intertemporal risk hedging strategy when the investment opportunity changes in the stock market. The 25 scale-book market value ratio portfolio and the extended portfolio are used as the test assets. Economic, emotional and market indicators are used as state variables to reflect investment opportunities, and the conditional covariance between asset excess return and market excess return estimated by DCC-MVGARCH method is used to measure market risk. The conditional covariance of asset excess return and state variable innovation estimated by DCC-MVGARCH method is used to measure the intertemporal risk. The panel regression method is used to test the relationship between excess return and risk. The results show that the money supply growth rate, real estate investment growth rate and macroeconomic boom index are among the single state variables. When the scale premium and other innovations decrease, the investment opportunities change unfavorable, and the assets negatively related to these innovations can hedge against the adverse changes of the investment opportunities. When the growth rate of deposit and loan gap, interest rate and stock market fluctuation increase, there will be adverse changes in investment opportunities, and the assets positively related to these innovations will be able to hedge against the adverse changes in investment opportunities; The models have good explanatory ability, among which scale premium, stock market volatility and money supply have higher explanatory power. The multi-state variables are tested, compared, and the corresponding investment strategies are provided.
【作者單位】： 中山大學嶺南學院;
【基金】：國家自然科學基金(70532003)~~
【分類號】：F830.91;F224
【正文快照】： 1引言金融學家一直關注資產(chǎn)風險與收益間的權衡關系,該關系對投資組合優(yōu)化、資產(chǎn)超額收益預測和波動率建模具有重要的學術意義和實踐意義。資本資產(chǎn)定價模型(capital asset pricing model,CAPM)是現(xiàn)代資產(chǎn)定價理論的基礎,在CAPM的理論框架中,投資者通過構造投資組合可以分散

【參考文獻】

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