【摘要】：金融資產(chǎn)定價(jià)不僅是金融學(xué)理論研究的焦點(diǎn),也一直受到實(shí)務(wù)界的密切關(guān)注。在資產(chǎn)定價(jià)理論的發(fā)展中,經(jīng)典的Fama-French三因子模型認(rèn)為股票收益的變動(dòng)可由市場(chǎng)風(fēng)險(xiǎn)、規(guī)模和賬面市值比三個(gè)因素來(lái)解釋,該模型得到了廣泛的認(rèn)可,針對(duì)我國(guó)股票市場(chǎng)的相關(guān)研究已有較多的積累,但針對(duì)創(chuàng)業(yè)板市場(chǎng)三因子模型的研究成果尚不夠豐富,尤其是在我國(guó)經(jīng)濟(jì)進(jìn)入新常態(tài)發(fā)展期后,科技創(chuàng)新和產(chǎn)業(yè)結(jié)構(gòu)變革的戰(zhàn)略意義進(jìn)一步凸顯,創(chuàng)業(yè)板市場(chǎng)在新的歷史時(shí)期應(yīng)發(fā)揮更重要的作用。在這一背景下,三因子模型在我國(guó)創(chuàng)業(yè)板是否適用,仍然是一個(gè)值得繼續(xù)研究的問(wèn)題。最近一兩年來(lái),國(guó)內(nèi)學(xué)者發(fā)現(xiàn),對(duì)我國(guó)股市而言,FF五因子模型的解釋力不如三因子模型,本論文運(yùn)用三因子模型針對(duì)創(chuàng)業(yè)板市場(chǎng)進(jìn)行分析,以我國(guó)2010年-2016年期間的創(chuàng)業(yè)板股票作為研究對(duì)象,基于FF三因子模型將組合和個(gè)股相結(jié)合進(jìn)行適用性的實(shí)證分析,在此基礎(chǔ)上選取不同的樣本時(shí)長(zhǎng)進(jìn)一步分析,討論隨著創(chuàng)業(yè)板市場(chǎng)的不斷發(fā)展,三因子模型在創(chuàng)業(yè)板市場(chǎng)上的適用性如何變化。最后,從金融實(shí)務(wù)的角度,本文討論了基于三因子模型的創(chuàng)業(yè)板市場(chǎng)投資策略,包括構(gòu)造α策略、β策略的基本思路。本論文主要發(fā)現(xiàn)是:(1)FF三因子模型對(duì)我國(guó)創(chuàng)業(yè)板市場(chǎng)有較強(qiáng)的解釋力,且優(yōu)于CAPM模型,全樣本段和分時(shí)間段的分析均支持這一結(jié)論;(2)在三個(gè)因子中,賬面市值比因子的解釋力在大盤(pán)股股票和小盤(pán)股股票之間存在顯著差異,這一因子更適于解釋小盤(pán)股的收益波動(dòng),但相對(duì)不適于解釋大盤(pán)股的收益波動(dòng),出現(xiàn)這一結(jié)果的原因值得后續(xù)更深入的研究;(3)隨著時(shí)間的推移,三因子模型在我國(guó)創(chuàng)業(yè)板的適用性在不斷增強(qiáng),側(cè)面說(shuō)明我國(guó)創(chuàng)業(yè)板市場(chǎng)在不斷發(fā)展和完善;對(duì)比不同樣本時(shí)長(zhǎng)的研究結(jié)果,三因子模型在我國(guó)創(chuàng)業(yè)板總體上呈現(xiàn)長(zhǎng)期數(shù)據(jù)比短期數(shù)據(jù)更適用的趨勢(shì);(4)FF三因子模型無(wú)法完全解釋創(chuàng)業(yè)板股票收益的變化:在FF三因子模型和CAPM模型的實(shí)證研究中,模型常數(shù)項(xiàng)均顯著不等于0,說(shuō)明除了三因子模型所涉及的三個(gè)因子外,仍有未被發(fā)現(xiàn)的其他變量。
[Abstract]:Financial asset pricing is not only the focus of financial theory research, but also has been paid close attention to. In the development of asset pricing theory, the classical Fama-French three-factor model holds that the change of stock returns can be explained by three factors: market risk, scale and book / market value ratio. There has been a lot of research on the stock market of our country, but the research results of the three-factor model of the gem market are not rich enough, especially after China's economy enters the new normal period of development. The strategic significance of scientific and technological innovation and industrial structure reform is further highlighted, and the gem market should play a more important role in the new historical period. Under this background, whether the three-factor model is applicable in the gem of our country is still a question worthy of further study. In the last one or two years, domestic scholars have found that the explanatory power of the FF five-factor model is not as good as that of the three-factor model for China's stock market. This paper uses the three-factor model to analyze the gem market. Taking the gem stock of our country from 2010 to 2016 as the research object, based on the FF three-factor model to combine the combination and the individual stock to carry on the empirical analysis, on this basis selects the different sample time to analyze further, With the development of the gem market, the applicability of the three-factor model in the gem market is discussed. Finally, from the perspective of financial practice, this paper discusses the investment strategy of gem based on three-factor model, including the basic ideas of constructing 偽 strategy and 尾 strategy. The main findings of this paper are as follows: (1) the FF three-factor model has a strong explanatory power to the gem market in China, and it is superior to the CAPM model. The analysis of the whole sample segment and the time period supports this conclusion; (2) among the three factors, The explanatory power of the book to market ratio factor is significantly different between large-cap stocks and small-cap stocks. This factor is more suitable to explain the volatility of earnings of small-cap stocks, but it is relatively unsuitable to explain the volatility of earnings of large-cap stocks. The reasons for this result are worthy of further study; (3) with the passage of time, the applicability of the three-factor model in the gem is increasing, which shows that the gem market of our country is constantly developing and improving; Comparing the results of the study with different sample duration, The three-factor model shows a trend that long-term data is more suitable than short-term data in general; (4) FF three-factor model can not fully explain the change of gem stock returns: in the empirical study of FF three-factor model and CAPM model, All the constant terms of the model are significantly different from 0, which indicates that there are still other variables which have not been found except the three factors involved in the three-factor model.
【學(xué)位授予單位】：上海外國(guó)語(yǔ)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：2237542