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  本文關鍵詞： 公司特征指標變量 收益可預測性 橫截面股票收益 中國股票市場　出處：《中國科學技術大學》2017年碩士論文　論文類型：學位論文

【摘要】：中國股票市場近年來發(fā)展迅猛,在中國的經(jīng)濟增長中扮演著越來越活躍的角色。本文旨在檢驗中國A股市場橫截面收益率的可預測性,并與美國股票市場進行對比。我們選取了 15個公司層面的特征指標作為變量,現(xiàn)有文獻已經(jīng)發(fā)現(xiàn)這些指標在美國股票市場上具有預測橫截面股票收益的能力。我們的目的是檢驗這些變量是否可以在中國股票市場預測橫截面股票收益,并與美國股票市場的檢驗結果進行對比,樣本的時間區(qū)間為1996-2015年。通過資產(chǎn)組合分析和Fama-MacBeth橫截面回歸分析,我們發(fā)現(xiàn)中國股票市場的收益可預測性是相對較弱的。對中國A股市場和美國股票市場進行相同的實證檢驗,經(jīng)Fama-French三因子模型調(diào)整后的收益率結果顯示,在中國,只有五個公司層面的特征指標變量可以顯著預測股票橫截面收益;而在美國股票市場,十一個變量可以顯著解釋橫截面股票收益的變化。因此,中國的股票市場存在收益可預測性,但是這個可預測性比美國股票市場要弱。收益可預測性通常被看作是市場無效率的標志,但中國A股市場的弱可預測性似乎不太可能歸因于較高的市場效率。我們對中國股票市場的弱可預測性提出了兩種可能的解釋,并分別進行檢驗。一個可能的解釋是收益預測因子在中國股票市場中的同質性比在美國股票市場中更強;另一個可能的解釋是在中國股票市場中股票價格的無效率程度比較高,股價持續(xù)地存在大量噪音。我們的實證結果顯示,收益預測因子在中國市場中的同質性確實比在美國市場中強,但這不是中國股票市場可預測性弱的全部原因,較低的收益可預測性也和較低的價格有效性相關。
[Abstract]:The stock market in China has developed rapidly in recent years and plays an increasingly active role in China's economic growth. This paper aims to test the predictability of cross-sectional returns in China's A-share market. And compared with the American stock market, we selected 15 corporate level characteristic indicators as variables. The existing literature has found that these indicators have the ability to predict cross-sectional stock returns in the US stock market. Our purpose is to test whether these variables can predict cross-sectional stock returns in Chinese stock markets. And compared with the test results of the American stock market, the time interval of the sample is 1996-2015. Through portfolio analysis and Fama-MacBeth cross-section regression analysis. We find that the return predictability of Chinese stock market is relatively weak. The return rate adjusted by Fama-French three-factor model shows that in China, only five characteristic index variables at firm level can significantly predict cross-section returns. In the American stock market, eleven variables can explain the change of cross-section stock return significantly. Therefore, the Chinese stock market has the predictability of return. But this predictability is weaker than in the U.S. stock market. Earnings predictability is often seen as a sign of market inefficiency. However, the weak predictability of China's A-share market seems unlikely to be attributed to higher market efficiency. We offer two possible explanations for the weak predictability of China's stock market. One possible explanation is that the homogeneity of income forecasting factors in Chinese stock market is stronger than that in American stock market. Another possible explanation is that there is a high degree of inefficiency in the stock market in China, and the stock price continues to have a lot of noise. Our empirical results show that. The homogeneity of earnings forecast factor in Chinese market is stronger than that in American market, but this is not the whole reason for the weak predictability of Chinese stock market. Lower earnings predictability is also related to lower price efficiency.
【學位授予單位】：中國科學技術大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1478404