資產(chǎn)定價(jià)是金融研究的核心命題。本文圍繞資本資產(chǎn)定價(jià)模型,以巴基斯坦、中國、美國以及其他發(fā)達(dá)股票市場為樣本,對(duì)幾個(gè)新定價(jià)因素進(jìn)行了實(shí)證研究,豐富了現(xiàn)有研究,具有較大的理論意義與實(shí)踐價(jià)值。論文主要包括有關(guān)資產(chǎn)定價(jià)的五大方面研究:本文前兩項(xiàng)部分,研究了新發(fā)展的資產(chǎn)定價(jià)因素,如盈利能力,投資和基于融資的系統(tǒng)性錯(cuò)誤估價(jià)（錯(cuò)誤定價(jià)）因子,對(duì)巴基斯坦股票收益的定價(jià)作用。本文第三部分,比較了不同構(gòu)建方法下的Fama-French五個(gè)因素表現(xiàn),并實(shí)證研究了基于融資的系統(tǒng)性錯(cuò)誤估值因子在中國股票市場上的定價(jià)作用。第四項(xiàng)研究檢驗(yàn)了在國際市場上,Fama-French盈利因素中的周一效應(yīng)或周初效應(yīng)。我們分別考慮了除美國（Fama&French,2017）以外的所有發(fā)達(dá)國家股票市場、美國市場和中國市場。由于巴基斯坦股票市場日度回報(bào)序列中的非流動(dòng)性問題（零回報(bào)比率較大）可能產(chǎn)生虛假的結(jié)果,本研究將巴基斯坦排除在樣本之外。本文第五部分,將美國股票按盈利（高和低）、投資（高和低）和錯(cuò)誤評(píng)估程度（低估和高估）變量分類之后,分析了投資者情緒及情緒水平變化對(duì)股票預(yù)期收益率的影響。此外,該研究也考察了在經(jīng)濟(jì)衰退期間,... 

【文章來源】：浙江大學(xué)浙江省 211工程院校 985工程院校 教育部直屬院校

【文章頁數(shù)】：244 頁

【學(xué)位級(jí)別】：博士

【文章目錄】：
Acknowledgements
摘要
ABSTRACT
Chapter 1 Introduction
    1.1 General Introduction
    1.2 Motivation of the Study
    1.3 Objectives of the Study
    1.4 Methodology and Research Design
    1.5 Major Contributions
    1.6 Main Contents of the Dissertation
Chapter 2 Literature Review
    2.1 Capital Asset Pricing Model and its Various Versions
    2.2 Arbitrage Pricing Theory, Size Premium, and Value Premium
    2.3 Profitability, Investment, and the Five-Factor Model
    2.4 Financing-Based Misvaluation and Mispricing
    2.5 Investor Sentiments and Mispricing
Chapter 3 Theoretical Framework and Methodological Aspects
    3.1 Theoretical Framework
    3.2 Neoclassical Asset Pricing Theories
        3.2.1 General Equilibrium Model
        3.2.2 Mean Variance Theory
        3.2.3 Static/ Absolute Asset Pricing Models
        3.2.4 Dynamic Models
    3.3 Behavioral Asset Pricing Theories
        3.3.1 Limits to Arbitrage
        3.3.2 Investor's Psychology
    3.4 Characteristics of Stock Markets
        3.4.1 Overview of the Pakistani Stock Market
        3.4.2 Overview of the Chinese Stock Market
        3.4.3 Overview of the Developed Stock Market
    3.5 Statistical Tests
        3.5.1 Descriptive Statistics
        3.5.2 Empirical Tests
        3.5.3 ARCH Models
Chapter 4 Size, Value, Profitability, and Investment Factors: Evidence from Pakistan
    4.1 Special Characteristics, Size, Value, and the Three-Factor Model
        4.1.1 Introduction
        4.1.2 Data and Methodology
        4.1.3 Empirical Results and Discussion
        4.1.4 Summary and Recommendations
    4.2 Profitability, Investment, and the Five-Factor Model
        4.2.1 Introduction and Motivation
        4.2.2 Data, Variables and Methodology
        4.2.3 Descriptive Statistics and Factors Selection
        4.2.4 Playing Field
        4.2.5 Factors
        4.2.6 Model Performance Summary
        4.2.7 Time-Series Regressions Results
        4.2.8 Robustness Test
    4.3 Conclusion
    Appendix A
Chapter 5 Mispricing and the Five-Factor Model for the Pakistani Stock Market
    5.1 Introduction
    5.2 Data and Summary Statistics
    5.3 Factor Spanning Tests
    5.4 Asset Pricing Tests
    5.5 Conclusions
Chapter 6 Financing-Based Risk Factor and the Five-Factor Model for the Chinese Stock Market
    6.1 Introduction
    6.2 Data, Variables and Methodology
        6.2.1 Types and Sources of Data
        6.2.2 Overview of the Chinese Stock Market
        6.2.3 Factors Construction and Portfolio Formation
    6.3 Results
    6.4 Financing-Based Misvaluation and the Five-Factor Model
        6.4.1 Motivation
        6.4.2 Data
        6.4.3 Results for UMO factor
        6.4.4 Descriptive Statistics and Economic Interpretation
        6.4.5 Factor Redundancy Tests
    6.5 Conclusion
Chapter 7 Monday Effect in the Profitability and the Short-Term Reversal Factors
    7.1 Introduction
    7.2 International Evidence on the Monday or Early-in-the-week Effect in Fama-French'sRMW Factor
        7.2.1 Methodology and Data
        7.2.2 Results
        7.2.3 Economic Interpretation
    7.3 Monday or Early-in-the-week Effect in the RMW Factor: A Test of the ChineseStock Market
        7.3.1 Data and Motivation
        7.3.2 Results
    7.4 Monday Effect in the Short-Term Reversal Factor: A Test of the Sound Mind EffectHypothesis
        7.4.1 Data, Motivation and Results
        7.4.2 Economic Interpretation
    7.5 Conclusions and Implications
    Appendix B
Chapter 8 Investors Sentiments and Mispricing, Profitability, and Investment Factors
    8.1 Introduction
    8.2 Hypothesis Development
    8.3 Data and Methodology
        8.3.1 Stock Market Returns (Dependent Variable)
        8.3.2 Measures of Investor Sentiment
        8.3.3 Macroeconomic Control Variables
        8.3.4 Methodology
    8.4 Preliminary Tests
        8.4.1 Descriptive Statistics
        8.4.2 Contemporaneous Sentiment Return Relationship
        8.4.3 Causality
    8.5 Fama-French's Five Factors,Misvaluation and Economic Recession
        8.5.1 Motivation and Data
        8.5.2 Findings
    8.6 Conclusion
Chapter 9 Conclusion and Future Perspectives
    9.1 Summary
    9.2 Major Findings
    9.3 Future Perspectives
References
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