本文關(guān)鍵詞：公司特質(zhì)風(fēng)險、估值水平與股票收益——基于分位數(shù)Fama-MacBeth回歸模型的實證分析　出處：《華東經(jīng)濟管理》2017年09期 　論文類型：期刊論文

  更多相關(guān)文章： 特質(zhì)風(fēng)險 估值水平 私有信息 噪聲交易

【摘要】：文章建立理論模型探究公司特質(zhì)風(fēng)險、估值水平與股票收益之間的關(guān)系,理論模型結(jié)果表明:對于被低估的公司,特質(zhì)風(fēng)險的私有信息效應(yīng)更加明顯,股票預(yù)期收益率與特質(zhì)風(fēng)險之間呈正相關(guān)關(guān)系;對于被高估的公司,特質(zhì)風(fēng)險的噪聲交易效應(yīng)更加明顯,股票預(yù)期收益率與特質(zhì)風(fēng)險之間呈負(fù)相關(guān)關(guān)系。在此基礎(chǔ)上,從公司估值水平和賣空限制的角度對整體市場的特質(zhì)波動率之謎進(jìn)行了理論解釋。文章使用Fama-French五因子模型計算特質(zhì)風(fēng)險和估值水平,運用分組檢驗和分位數(shù)Fama-Mac Beth回歸兩種方法進(jìn)行實證分析,基于我國上市公司數(shù)據(jù)的實證研究結(jié)果支持了理論模型的結(jié)論:中國股票市場存在明顯的特質(zhì)波動率之謎,公司估值水平會對特質(zhì)風(fēng)險與股票預(yù)期回報之間的關(guān)系產(chǎn)生影響。
[Abstract]:This paper establishes a theoretical model to explore the relationship between corporate trait risk, valuation level and stock returns. The theoretical model results show that: for undervalued companies, the private information effect of trait risk is more obvious. There is a positive correlation between stock expected return and trait risk. For overvalued companies, the noise trading effect of trait risk is more obvious, and there is a negative correlation between stock expected return and trait risk. This paper theoretically explains the riddle of trait volatility in the whole market from the point of view of company valuation level and short selling restriction. This paper uses Fama-French five-factor model to calculate the trait risk and valuation level. Using grouping test and quantile Fama-Mac Beth regression to carry out empirical analysis. The empirical results based on the data of listed companies in China support the conclusion of the theoretical model: there are obvious idiosyncratic volatility puzzles in Chinese stock market. The level of company valuation has an impact on the relationship between trait risk and expected return on stocks.
【作者單位】： 南開大學(xué)金融學(xué)院;
【基金】：教育部社會科學(xué)基金項目(15YJA790090)
【分類號】：F224;F832.51
【正文快照】： 一、引言公司的特質(zhì)風(fēng)險是否會影響股票的預(yù)期收益率?這個問題一直是學(xué)術(shù)界的爭論焦點。作為特質(zhì)風(fēng)險的度量,特質(zhì)波動率其與預(yù)期收益率的關(guān)系一直飽受爭議。經(jīng)典金融理論認(rèn)為特質(zhì)風(fēng)險可以通過分散化投資的手段進(jìn)行規(guī)避,因此不會影響預(yù)期收益率。然而經(jīng)典金融理論中關(guān)于理想市

【相似文獻(xiàn)】

相關(guān)期刊論文 前1條

1 趙雪瑩;;靜態(tài)資本資產(chǎn)定價模型的有效性檢驗——基于Fama-Macbeth估計方法[J];時代金融;2014年11期

，

本文編號：1371594