本文選題：Fama-French模型　切入點(diǎn)：創(chuàng)業(yè)板市場　出處：《天津大學(xué)》2014年碩士論文

【摘要】：2009年深圳創(chuàng)業(yè)板推出以來,承載著經(jīng)濟(jì)結(jié)構(gòu)調(diào)整,促進(jìn)中小企業(yè)和創(chuàng)新型企業(yè)發(fā)展重任的創(chuàng)業(yè)板至今已運(yùn)行了近5年的時(shí)間。創(chuàng)業(yè)板市場運(yùn)行初期IPO估值合理性等問題引起了資本市場的廣泛關(guān)注。我國股市主板市場自受2008年金融危機(jī)影響以來持續(xù)低迷,而在這樣大盤環(huán)境不景氣的情況下創(chuàng)業(yè)板近年來跑贏大盤,對于這樣一個(gè)科技含量高、成長潛力大且投資風(fēng)險(xiǎn)也比較的大新興市場而言,對其定價(jià)機(jī)制進(jìn)行研究無疑具有深遠(yuǎn)的意義。本文選取創(chuàng)業(yè)板市場為研究對象,對在主板市場中應(yīng)用比較廣泛的Fama-French三因素模型進(jìn)行在創(chuàng)業(yè)板的適用性研究,并同時(shí)對創(chuàng)業(yè)板中的主要行業(yè)進(jìn)行了模型的適用性研究。鑒于對這一新興市場流動(dòng)性定價(jià)的研究還比較少,本文還對流動(dòng)性是否影響創(chuàng)業(yè)板定價(jià)問題進(jìn)行分析,并通過在原始模型中添加流動(dòng)性溢價(jià)因子構(gòu)造拓展模型,并將拓展模型與原模型回歸結(jié)果進(jìn)行對比,借此探討創(chuàng)業(yè)板市場適用的定價(jià)模型。本文運(yùn)用實(shí)證研究方法,利用各模型對創(chuàng)業(yè)板市場按規(guī)模和賬面市值比分組和按流動(dòng)性分組的股票進(jìn)行回歸分析和對比,主要結(jié)論為:(1)創(chuàng)業(yè)板市場溢價(jià)顯著,CAPM基本適用;(2)三因素模型基本適用于我國創(chuàng)業(yè)板市場,我國創(chuàng)業(yè)板市場市場溢價(jià)和規(guī)模溢價(jià)明顯,市場顯現(xiàn)出一定的B/P溢價(jià),但不及規(guī)模溢價(jià)明顯;(3)FF模型在行業(yè)的適用性差異明顯,其不適用于傳媒行業(yè),而對電氣設(shè)備、電子、化工、機(jī)械設(shè)備四個(gè)行業(yè)而言,市場、規(guī)模和賬面市值比溢價(jià)均明顯,FF模型適用,但是計(jì)算機(jī)和醫(yī)藥生物行業(yè)的賬面市值比溢價(jià)不明顯,剔除此因子的二因子模型更適用。(4)利用修正的Amihud非流動(dòng)性指標(biāo)作為流動(dòng)性的衡量尺度發(fā)現(xiàn)創(chuàng)業(yè)板存在流動(dòng)性溢價(jià),但是流動(dòng)性溢價(jià)和規(guī)模溢價(jià)具有較高的相關(guān)度,在各行業(yè)適用的模型中添加流動(dòng)性因子或用流動(dòng)性因子替換規(guī)模因子均不能提升其在各行業(yè)的解釋力度,說明創(chuàng)業(yè)板中規(guī)模因子是比流動(dòng)性因子更重要的定價(jià)因素。
[Abstract]:Since the launch of the Shenzhen growth Enterprise Market in 2009, the gem, which carries the adjustment of economic structure and promotes the development of small and medium-sized enterprises and innovative enterprises, has been running for nearly five years.The rationality of IPO valuation in the initial stage of gem market has aroused widespread concern in the capital market.Since the impact of the 2008 financial crisis, the main market of China's stock market has continued to be depressed. However, under such a depressed market environment, the gem has outperformed the market in recent years, for such a high scientific and technological content.For the big emerging market which has great growth potential and investment risk, it is of great significance to study its pricing mechanism.This paper selects the gem market as the research object, studies the applicability of the Fama-French three-factor model, which is widely used in the main board market, and studies the applicability of the model to the main industries in the gem.In view of the lack of research on liquidity pricing in this emerging market, this paper also analyzes whether liquidity affects gem pricing, and constructs an extended model by adding liquidity premium factor to the original model.The results of the extended model and the original model are compared to explore the applicable pricing model of the gem market.In this paper, the empirical research method is used to analyze and compare the growth Enterprise Market (gem) stocks in terms of size and volume ratio of market value and liquidity.The main conclusions are as follows: (1) the gem market premium is significant and CAPM is basically applicable to the gem market. The three-factor model is basically applicable to the gem market in China. The market premium and the scale premium of the gem market in China are obvious, and the market shows a certain B / P premium.However, the applicability of the model is obviously different from that of the scale premium. It is not suitable for the media industry, but for the four industries of electrical equipment, electronics, chemical industry and mechanical equipment, the market.Both the scale and the book market value premium are obviously applicable to the FF model, but the book size and the book price premium in the computer and pharmaceutical biology industries are not obvious.The two-factor model excluding this factor is more suitable. 4) using the modified Amihud illiquidity index as a measure of liquidity, we find that there is a liquidity premium on the gem, but the liquidity premium and the scale premium have a high correlation.The addition of liquidity factor or the replacement of scale factor with liquidity factor in each industry model can not enhance its interpretation in various industries, which indicates that scale factor is more important than liquidity factor in the pricing factor of gem.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F279.2

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