【摘要】：作為傳統(tǒng)金融理論的核心,資本資產(chǎn)定價(jià)模型(CAPM)的提出為資產(chǎn)定價(jià)研究提供了科學(xué)、嚴(yán)密的理論研究體系。它基于有效市場(chǎng)假說理論(EMH),認(rèn)為非理性投資者并不會(huì)影響資產(chǎn)的市場(chǎng)價(jià)格。但是,隨后各種金融異象的存在使得資本資產(chǎn)定價(jià)模型受到了越來(lái)越多的質(zhì)疑。 為了更好的解釋金融市場(chǎng)中的特殊現(xiàn)象,學(xué)者們嘗試著從行為財(cái)務(wù)角度展開研究。行為資產(chǎn)定價(jià)模型(BAPM)是行為財(cái)務(wù)理論實(shí)證研究層面的代表,它不再將投資者假設(shè)為理性人,揭示了股票市場(chǎng)上投資者普遍存在認(rèn)知風(fēng)險(xiǎn)的現(xiàn)實(shí),使得BAPM模型中的行為β在解釋股市異象上比CAPM模型中的傳統(tǒng)β更加有效。 一直以來(lái),IPO首日超額收益問題都是與傳統(tǒng)的標(biāo)準(zhǔn)金融學(xué)相違背的“謎”。對(duì)此進(jìn)行的早期研究是以市場(chǎng)有效為前提的,但是IPO首日異�；貓�(bào)率和長(zhǎng)期弱勢(shì)表現(xiàn)使得這種解釋并不能很好地解決這一特殊現(xiàn)象。研究者們開始嘗試從行為財(cái)務(wù)學(xué)的角度來(lái)解釋投資者的行為,發(fā)現(xiàn)了投資者的非理性行為對(duì)股價(jià)有明顯影響。在我國(guó)股票市場(chǎng)中,中小投資者所占比例較高,這使得中小投資者的認(rèn)知偏差和非理性行為對(duì)股價(jià)的影響更加突出。 本文從行為財(cái)務(wù)的角度出發(fā),將行為資產(chǎn)定價(jià)模型(BAPM)引入到中國(guó)的IPO市場(chǎng),運(yùn)用實(shí)證的方法對(duì)我國(guó)IPO首日超額收益問題作出解釋。首先在理論方面介紹了IPO首日超額收益相關(guān)研究成果及行為財(cái)務(wù)理論,并對(duì)傳統(tǒng)資本資產(chǎn)定價(jià)模型(CAPM)和行為資本資產(chǎn)定價(jià)模型(BAPM)進(jìn)行了詳細(xì)介紹。在實(shí)證方面,選取了2009年6月1日至2012年11月30日期間100家A股IPO企業(yè)作為樣本,在構(gòu)建動(dòng)量指數(shù)(DVI)的基礎(chǔ)上進(jìn)行BAPM和CAPM中β值的比較和噪聲交易者風(fēng)險(xiǎn)(NTR)的衡量。 通過相關(guān)分析檢驗(yàn),我國(guó)A股IPO市場(chǎng)普遍存在著“噪聲”和噪聲交易,在一定程度上影響了正常的收益率的獲得,導(dǎo)致了IPO首日收益率虛高。通過比較,發(fā)現(xiàn)行為β在解釋股票收益率時(shí)比傳統(tǒng)β更加有效,這也就意味著,在我國(guó)IPO市場(chǎng)不斷變動(dòng)和完善的狀況下,使用行為資本資產(chǎn)定價(jià)模型比傳統(tǒng)資本資產(chǎn)定價(jià)模型更加適合和有效。
[Abstract]:As the core of traditional financial theory, capital asset pricing model (CAPM) provides a scientific and rigorous theoretical research system for asset pricing research. Based on the efficient Market hypothesis (EMH),) theory, it argues that irrational investors do not affect the market price of assets. However, the existence of various financial anomalies makes the capital asset pricing model more and more questionable. In order to better explain the special phenomenon in the financial market, scholars try to conduct the research from the perspective of behavioral finance. The behavioral asset pricing model (BAPM) is the representative of the empirical study of behavioral finance theory. It no longer assumes investors as rational people, which reveals the reality that investors generally have cognitive risks in the stock market. The behavior 尾 in the BAPM model is more effective than the traditional 尾 in the CAPM model in explaining the anomaly of the stock market. All along, the IPO's first day of excess return has been a mystery that runs counter to traditional standard finance. The early research on this is based on market efficiency, but the abnormal rate of return on the first day of IPO and long-term weak performance make this explanation not very good to solve this special phenomenon. Researchers began to try to explain the behavior of investors from the perspective of behavioral finance, and found that the irrational behavior of investors has a significant impact on stock prices. In China's stock market, the proportion of small and medium-sized investors is high, which makes the cognitive bias and irrational behavior of small and medium-sized investors more prominent. From the point of view of behavioral finance, this paper introduces the behavioral asset pricing model (BAPM) into the IPO market in China, and uses the empirical method to explain the problem of the first-day excess return of IPO in China. Firstly, the paper introduces the research results of IPO's first-day excess return and behavioral finance theory, and introduces the traditional capital asset pricing model (CAPM) and the behavioral capital asset pricing model (BAPM) in detail. From June 1, 2009 to November 30, 2012, 100 A-share IPO companies were selected as samples to compare the 尾 value between BAPM and CAPM and measure the risk of noise trader (NTR) on the basis of constructing momentum index (DVI). Through correlation analysis and test, there are "noise" and noise trading in China's A-share IPO market, which to some extent affects the normal rate of return and leads to the false high first day return rate of IPO. By comparison, it is found that behavior 尾 is more effective than traditional 尾 in explaining stock return, which means that under the condition of constant change and perfection of IPO market in our country, The behavioral capital asset pricing model is more suitable and effective than the traditional capital asset pricing model.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.42;F832.51

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