本文關(guān)鍵詞：中國股票市場的規(guī)模效應(yīng)：理論與實(shí)證　出處：《復(fù)旦大學(xué)》2014年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 規(guī)模效應(yīng) 資產(chǎn)定價(jià) 信息 流動(dòng)性 面板數(shù)據(jù)模型

【摘要】：本文以中國A股市場為樣本,系統(tǒng)性地研究了規(guī)模效應(yīng)的存在性及其原因�；诠善眱r(jià)格形成機(jī)制及規(guī)模因素在其中的作用,本文重點(diǎn)研究了四個(gè)方面的問題：第一,對規(guī)模效應(yīng)本身存在性的檢驗(yàn)；第二,從基本面的角度出發(fā),研究規(guī)模因素在決定公司系統(tǒng)性風(fēng)險(xiǎn)和投資行為中的影響；第三,研究規(guī)模對市場信息因素的影響,以及是否由此產(chǎn)生規(guī)模效應(yīng)；第四,研究規(guī)模對流動(dòng)性的影響,并探討流動(dòng)性是否是規(guī)模效應(yīng)的渠道。相應(yīng)地,本文的第三章至第六章分別研究了這四個(gè)問題。本文是對股票橫截面收益的解釋,其研究方法沿襲該領(lǐng)域的常用手段。除了包括分組檢驗(yàn)、Fama-MacBeth回歸等經(jīng)典方法外,本文引入了面板數(shù)據(jù)模型作為另一種主要的估計(jì)方法。面板數(shù)據(jù)模型不僅能在存在時(shí)間效應(yīng)的情況下提供較好的結(jié)果,而且同樣適用于個(gè)體效應(yīng)的情況,并且對于一些存在擾動(dòng)項(xiàng)相關(guān)性的情況仍然能夠獲得穩(wěn)健的結(jié)果。本文較為確定的結(jié)論主要有三點(diǎn)：第一,在A股市場中規(guī)模效應(yīng)是確定存在的,表現(xiàn)為小公司的預(yù)期收益總體上高于火公司。其中以總市值衡量時(shí)最為明顯,并且這種效應(yīng)通過了不同設(shè)定的穩(wěn)健性檢驗(yàn)。第二,信息因素是規(guī)模效應(yīng)的可能來源,以分析師關(guān)注程度衡量的信息不完全能夠降低規(guī)模效應(yīng)的程度,小公司受到投資者的關(guān)注較少,因此相關(guān)的信息不完全的,從而投資者要求小公司有較高的預(yù)期收益。第三,流動(dòng)性也能夠部分地解釋規(guī)模效應(yīng),這一點(diǎn)在股票橫截面收益上并不明顯,但在時(shí)間序列的角度上較為顯著,流動(dòng)性調(diào)整的CAPM能夠使不同規(guī)模的股票組合的未被解釋的成分沒有差異。本文可能的創(chuàng)新之處有：首先,本文對股票收益實(shí)證研究的估計(jì)方法進(jìn)行了較為完整的討論,試圖將面板數(shù)據(jù)模型引入到相關(guān)的研究中,并在規(guī)模效應(yīng)的實(shí)證檢驗(yàn)中充分運(yùn)用了這一系列方法。因此,本文不僅獲得了準(zhǔn)確、穩(wěn)健的估計(jì)結(jié)果,而且能夠?yàn)轭愃频难芯刻峁┓椒ㄉ系慕梃b。其次,本文選擇了基于生產(chǎn)的資產(chǎn)定價(jià)模型的典型理論,對股票收益背后的經(jīng)濟(jì)機(jī)制進(jìn)行了嘗試性的探索。以往對股票收益的決定因素的研究往往著眼于對“異象”的解釋,而本文介紹的資產(chǎn)定價(jià)理論則將股票收益的規(guī)律性視為內(nèi)生性的現(xiàn)象,有助于這方面后續(xù)研究的開展。第三,本文在股票價(jià)格形成機(jī)制的框架中分離出了基本面、信息、流動(dòng)性三個(gè)環(huán)節(jié),并結(jié)合相關(guān)理論,逐一討論規(guī)模因素在其中的作用。此外,利用中國股票市場的樣本進(jìn)行實(shí)證分析,其結(jié)果為規(guī)模效應(yīng)的來源提供了可能的解釋。
[Abstract]:This paper systematically studies the existence and causes of scale effect based on the stock price formation mechanism and the role of scale factors in the Chinese A-share market. This paper focuses on four aspects: first, the test of the existence of scale effect itself; Secondly, from the angle of fundamentals, the paper studies the influence of scale factors in determining the systematic risk and investment behavior of the company. Third, study the influence of scale on market information factors, and whether to produce scale effect; 4th, study the effect of scale on liquidity, and explore whether liquidity is the channel of scale effect. The third to 6th chapters study these four problems respectively. This paper is an explanation of the cross-section return of stock, and its research methods follow the common methods in this field, except for the grouping test. Fama-MacBeth regression and other classical methods. In this paper, panel data model is introduced as another main estimation method. Panel data model can not only provide better results in the presence of time effect, but also be suitable for individual effect. And for some cases where there is correlation of disturbance terms, robust results can still be obtained. There are three main conclusions in this paper: first, in the A-share market, the scale effect is sure to exist. The performance is that the expected earnings of small companies are generally higher than those of fire companies. This effect is most obvious when measured by total market value, and this effect has passed the robustness test of different settings. Second. The information factor is the possible source of the scale effect. The information measured by the degree of concern of the analyst can reduce the degree of the scale effect completely, and the small company is less concerned by the investors, so the relevant information is not complete. Third, liquidity can partly explain the scale effect, which is not obvious in the cross-section return of stock, but is more significant in the perspective of time series. The fluidity adjusted CAPM can make the unexplained composition of the different size stock portfolio not different. The possible innovations of this paper are as follows: first of all. This paper discusses the estimation methods of stock return empirical research and tries to introduce the panel data model into the relevant research. And in the empirical test of scale effect, we make full use of this series of methods. Therefore, this paper not only obtains accurate and robust estimation results, but also can provide a reference for similar research. Secondly. This paper chooses the typical theory of production-based asset pricing model. This paper attempts to explore the economic mechanism behind stock returns. Previous studies on the determinants of stock returns have often focused on the explanation of "anomalies". The asset pricing theory introduced in this paper regards the regularity of stock returns as an endogenous phenomenon, which is helpful to the development of further research in this field. Third. In this paper, in the framework of the mechanism of stock price formation, we separate out three links: fundamentals, information, liquidity, and discuss the role of scale factors one by one. The results of empirical analysis on Chinese stock market provide a possible explanation for the source of scale effect.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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