本文關(guān)鍵詞： 融資約束 資產(chǎn)定價(jià) 股票收益率 F-F三因素模型 投資組合　出處：《湖南大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：資產(chǎn)定價(jià)一直是金融界和財(cái)務(wù)界關(guān)注的主要課題之一。Sharp（1964）等人提出的資本資產(chǎn)定價(jià)模型（CAPM）成為現(xiàn)代金融理論的奠基石。隨后，學(xué)者們對(duì)CAPM進(jìn)行了改良和擴(kuò)展，如：跨期資本資產(chǎn)定價(jià)模型、套利模型、期權(quán)定價(jià)模型。這些模型為研究股票收益率的影響因素提供了良好的理論基礎(chǔ)。80年代以來，傳統(tǒng)的CAPM受到了來自各種異象的挑戰(zhàn)，如規(guī)模、賬面市值比、反轉(zhuǎn)效應(yīng)等，這些異象難以用CAPM解釋，并且它們能夠?qū)善笔找媛十a(chǎn)生影響。目前學(xué)者們還在不斷探索影響股票收益率的各種因素，以期為降低上市公司的股權(quán)融資成本和提高投資者投資決策的準(zhǔn)確度提供幫助。 融資約束是在信息不對(duì)稱等理論下被提出的，它表示公司內(nèi)外融資成本的差異程度。融資約束程度越高，會(huì)影響公司對(duì)外籌集資金的能力。融資約束是否通過資本市場(chǎng)的定價(jià)功能對(duì)企業(yè)產(chǎn)生影響已被國外學(xué)者所關(guān)注。本文嘗試著利用我國滬深A(yù)股市場(chǎng)2003-2010年的數(shù)據(jù)，研究融資約束是否能夠影響對(duì)股票收益率，從而證明融資約束能否成為資產(chǎn)定價(jià)的一個(gè)因素。首先，本文選擇了三種指標(biāo)作為融資約束的度量指標(biāo)，在投資組合的基礎(chǔ)上，通過描述性統(tǒng)計(jì)和t檢驗(yàn)，驗(yàn)證了融資約束我國存在于我國上市公司。其次，本文中還將融資約束因子加入F-F三因素模型擴(kuò)展為四因素模型，并將四因素模型分別與CAPM、F-F三因素模型進(jìn)行比較，實(shí)證結(jié)果表明加入融資約束因子后的模型對(duì)股票收益率的解釋能力增強(qiáng)了，并且，融資約束程度越高，股票收益率越大。最后，本文驗(yàn)證了融資約束能夠獨(dú)立地對(duì)資產(chǎn)定價(jià)產(chǎn)生影響�？傊疚耐ㄟ^實(shí)證證明了融資約束能夠作為資產(chǎn)定價(jià)的一個(gè)因素，為從企業(yè)基本面角度研究我國金融風(fēng)險(xiǎn)的形成機(jī)理提供有益的視角，，并為緩解我國上市公司融資約束提供相關(guān)建議。
[Abstract]:Asset pricing has always been one of the major topics of concern in finance and finance. The capital asset pricing model (CAPMM) put forward by the others has become the cornerstone of modern financial theory. Scholars have improved and extended CAPM, such as: intertemporal capital asset pricing model, arbitrage model. Option pricing models. These models provide a good theoretical basis for the study of the factors affecting stock returns. Since the 1980s, the traditional CAPM has been challenged by various visions, such as scale. Book market value ratio, reverse effect and so on, these anomalies are difficult to explain with CAPM, and they can influence the stock yield. At present, scholars are still exploring various factors that affect the stock yield. In order to reduce the cost of equity financing of listed companies and improve the accuracy of investors' investment decisions. Financing constraint is put forward under the theory of information asymmetry, which indicates the degree of difference of financing cost inside and outside the company. The higher the degree of financing constraint is, the higher the degree of financing constraint is. It will affect the ability of the company to raise funds from the outside. Whether the financing constraint has influence on the enterprise through the pricing function of the capital market has been concerned by foreign scholars. This paper tries to use the Shanghai and Shenzhen A share market in China in 2003-2. Data for 2010. This paper studies whether the financing constraint can affect the stock yield and proves whether the financing constraint can be a factor in asset pricing. Firstly, this paper chooses three kinds of indicators as the measure of financing constraint. On the basis of portfolio, through descriptive statistics and t-test, we verify the existence of financing constraints in China's listed companies. Secondly. In this paper, the financing constraint factor added into the F-F three-factor model is extended to the four-factor model, and the four-factor model is compared with the CAPMF-F three-factor model. The empirical results show that the model with financing constraint factor can explain the stock return more effectively, and the higher the degree of financing constraint, the greater the stock return. Finally. This paper verifies that financing constraints can have an independent impact on asset pricing. In a word, this paper proves that financing constraints can be used as a factor of asset pricing. It provides a useful angle of view to study the formation mechanism of financial risk in China from the angle of enterprise fundamentals, and provides relevant suggestions for alleviating the financing constraints of listed companies in China.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F231;F832.51

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