本文關(guān)鍵詞：公司特質(zhì)風(fēng)險(xiǎn)與信息透明度對股票收益率的影響　出處：《哈爾濱工業(yè)大學(xué)》2016年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 風(fēng)險(xiǎn) 信息 特質(zhì)風(fēng)險(xiǎn) 信息透明度 股票收益率

【摘要】：風(fēng)險(xiǎn)是股票市場永恒的話題,而市場存在的系統(tǒng)性風(fēng)險(xiǎn)逐漸趨穩(wěn)或下降、特質(zhì)風(fēng)險(xiǎn)逐漸上升的現(xiàn)象將大家的注意力逐漸吸引到特質(zhì)風(fēng)險(xiǎn)上。同時(shí),隨著理論研究的深入,學(xué)者關(guān)于“特質(zhì)風(fēng)險(xiǎn)定價(jià)”方面的研究結(jié)論出現(xiàn)了明顯的分歧。另一方面,盡管我國股票市場已經(jīng)歷了20多年的飛速發(fā)展,但信息不對稱問題一直制約著市場的有效性,進(jìn)而影響到股票定價(jià)和收益。信息不對稱導(dǎo)致的弱勢有效的股票市場上信息透明度與股票的特質(zhì)波動(dòng)(特質(zhì)風(fēng)險(xiǎn))存在密切聯(lián)系,而實(shí)證發(fā)現(xiàn)了兩者之間的不同關(guān)系。基于現(xiàn)實(shí)的關(guān)注熱度和實(shí)證結(jié)論的明顯分歧,作者首次研究了特質(zhì)風(fēng)險(xiǎn)和信息透明度的交互項(xiàng)對股票收益率的影響。本文基于兩個(gè)影響股票收益率的關(guān)鍵因素特質(zhì)風(fēng)險(xiǎn)和信息透明度展開假設(shè)和檢驗(yàn)的:首先,我們基于特質(zhì)風(fēng)險(xiǎn)和信息透明度各自對股票收益率的影響分別建立對應(yīng)的多元線性回歸模型;其次,我們有必要將兩個(gè)影響因素放入同一個(gè)多元線性回歸模型以檢驗(yàn)在多因素影響下的各自變量的顯著性和對模型的解釋力度;同時(shí),在考慮了兩個(gè)自變量之間的聯(lián)系后,我們在前一個(gè)模型的基礎(chǔ)上加入交互項(xiàng),從而檢驗(yàn)交互項(xiàng)的影響:替代或互補(bǔ)效應(yīng)。在完成三個(gè)研究假設(shè)的提出和四個(gè)回歸模型的構(gòu)建的基礎(chǔ)上,我們首先進(jìn)行了描述性分析、相關(guān)性分析和單位根檢驗(yàn),在確定了樣本的適用性后,我們對多元線性回歸結(jié)果進(jìn)行了分析,并在此基礎(chǔ)上進(jìn)行了模型補(bǔ)充檢驗(yàn)、去控制變量檢驗(yàn)、樣本組細(xì)分以及自變量更換等穩(wěn)健性檢驗(yàn)。最終得出了如下結(jié)論:公司的特質(zhì)風(fēng)險(xiǎn)越高,投資者就會(huì)獲得更高的風(fēng)險(xiǎn)溢價(jià)補(bǔ)償,因此,追求高額股票收益率的股東或潛在投資者應(yīng)該選擇特質(zhì)風(fēng)險(xiǎn)高的標(biāo)的股票。公司信息透明度與公司股票收益率之間的正相關(guān)關(guān)系向投資者傳遞了強(qiáng)烈的信號——選擇具有良好信息透明度的公司才是獲取更高投資回報(bào)的理性選擇。最后,負(fù)的交互項(xiàng)系數(shù)告訴我們,當(dāng)公司特質(zhì)風(fēng)險(xiǎn)不斷增加時(shí),公司信息透明度對股票收益率的正向影響力會(huì)逐漸減弱的;當(dāng)公司信息透明度不斷增加時(shí),公司特質(zhì)風(fēng)險(xiǎn)對股票收益率的正向影響力會(huì)逐漸減弱的。
[Abstract]:Risk is an eternal topic in the stock market, and the systemic risk in the market tends to stabilize or decrease gradually, and the phenomenon that the characteristic risk rises gradually attracts everyone's attention to the trait risk. At the same time. With the deepening of theoretical research, scholars' conclusions on "trait risk pricing" appear obvious differences. On the other hand, although China's stock market has experienced rapid development for more than 20 years. However, the problem of information asymmetry has been restricting the effectiveness of the market. The information transparency in the weak and effective stock market caused by asymmetric information has a close relationship with the trait volatility (trait risk) of the stock. The empirical results show the different relationship between the two. Based on the reality of the focus on the heat and empirical conclusions of the obvious differences. For the first time, the author studies the influence of the interaction between trait risk and information transparency on the stock return. This paper presents the hypothesis and test based on two key factors affecting the stock return: trait risk and information transparency. First. Based on the influence of trait risk and information transparency on stock return, we establish the corresponding multivariate linear regression model. Secondly, we need to put two factors into the same multivariate linear regression model to test the significance of their variables and the interpretation of the model under the influence of multiple factors. At the same time, after considering the relationship between the two independent variables, we add the interaction item to the former model. On the basis of three hypotheses and the construction of four regression models, we first carried out descriptive analysis. Correlation analysis and unit root test, after determining the applicability of the sample, we analyze the results of multiple linear regression, and on the basis of this, we carry out model supplementary test to control the variable test. The conclusion is as follows: the higher the risk of the company, the higher the risk premium compensation will be. Shareholders or potential investors pursuing high stock returns should choose the underlying stocks with high trait risk. The positive correlation between transparency of corporate information and the return on company shares sends a strong signal to investors--. To choose a company with good information transparency is the rational choice to obtain a higher return on investment. Finally. The negative interaction coefficient tells us that the positive influence of corporate information transparency on the stock yield will gradually weaken when the company trait risk increases; When the transparency of corporate information is increasing, the positive influence of corporate trait risk on stock returns will gradually weaken.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.51
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本文編號：1404955