本文關(guān)鍵詞： CAPM模型 三因子模型 創(chuàng)業(yè)板市場(chǎng)　出處：《天津大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：創(chuàng)業(yè)板自其成立至今已有四年，其建立的目的主要是扶持中小型、創(chuàng)業(yè)型和成長型的企業(yè)。作為主板的補(bǔ)充，創(chuàng)業(yè)板在我國資本市場(chǎng)有著重要的地位。針對(duì)目前國內(nèi)對(duì)CAPM及其修正模型在創(chuàng)業(yè)板的適用性研究的空白，本文選取42家創(chuàng)業(yè)板上市公司在2010年7月30到2013年9月30的月收益數(shù)據(jù)為研究對(duì)象對(duì)這一問題進(jìn)行了實(shí)證研究。 首先運(yùn)用BJS時(shí)間序列分析法和橫截面檢驗(yàn)法對(duì)CAPM模型的適用性展開研究。在應(yīng)用BJS時(shí)間序列法進(jìn)行分析時(shí)，排序期和預(yù)估期的實(shí)證結(jié)果表明絕大多數(shù)情況下，單只股票或者股票組合的期望收益率與市場(chǎng)風(fēng)險(xiǎn)因子之間存在顯著的正相關(guān)關(guān)系，而且二者之間是顯著的線性關(guān)系。但是檢驗(yàn)期和應(yīng)用橫截面檢驗(yàn)法的實(shí)證結(jié)果顯示各自變量的系數(shù)均不顯著。另外，采用兩種方法所得的結(jié)果均顯示R方都比較低，說明股票定價(jià)因子除了市場(chǎng)風(fēng)險(xiǎn)因子以外，還有別的定價(jià)因子存在。CAPM在中國創(chuàng)業(yè)板市場(chǎng)的適用性不強(qiáng)，選用不同的時(shí)間區(qū)間和采用不同的實(shí)證方法得到的結(jié)論可能不一樣。當(dāng)前，依據(jù)CAPM模型去對(duì)創(chuàng)業(yè)板市場(chǎng)股票收益率進(jìn)行估計(jì)有失精準(zhǔn)。 為了尋找創(chuàng)業(yè)板股票定價(jià)的其他影響因素，接著又使用了擴(kuò)展的模型（三因子模型）對(duì)創(chuàng)業(yè)板進(jìn)行適用性檢驗(yàn)。實(shí)證的結(jié)果顯示：1市場(chǎng)風(fēng)險(xiǎn)因子顯著性不強(qiáng)，可能存在與股票收益率之間的正相關(guān)關(guān)系。2創(chuàng)業(yè)板市場(chǎng)存在著明顯的小公司效應(yīng)和賬面市值比效應(yīng)，即小市值規(guī)模股票和價(jià)值型股票更易獲得超額回報(bào)。3創(chuàng)業(yè)板市場(chǎng)可能存在嚴(yán)重的投機(jī)行為，，投資者的投資行為缺乏專業(yè)、理性的指導(dǎo)。4三因子模型的解釋力雖較單一因子（市場(chǎng)風(fēng)險(xiǎn)因子）模型有所提高，但是最終的解釋力還是不高，創(chuàng)業(yè)板市場(chǎng)還存在其他定價(jià)因子。 最后，又提出了相應(yīng)的政策建議。
[Abstract]:It has been four years since the gem was founded. The purpose of its establishment is mainly to support small and medium-sized enterprises, entrepreneurial enterprises and growth-type enterprises. The gem plays an important role in China's capital market. In this paper, 42 gem listed companies from July 30th 2010 to September 30th 2013 in the monthly earnings data as the research object of the empirical study on this issue. Firstly, the applicability of CAPM model is studied by using BJS time series analysis and cross section test. When the BJS time series method is applied, the empirical results of sequencing period and prediction period show that, in most cases, There is a significant positive correlation between the expected return rate of a single stock or stock portfolio and market risk factors. Moreover, there is a significant linear relationship between them. However, both the test period and the empirical results of cross-section test show that the coefficients of their variables are not significant. In addition, the results obtained by both methods show that the R side is relatively low. It shows that in addition to the market risk factor, there are other pricing factors, the applicability of CAPM in China's gem market is not strong. Different time intervals and different empirical methods may lead to different conclusions. At present, it is inaccurate to estimate the return rate of gem stock market based on CAPM model. In order to find out other influencing factors of gem stock pricing, the extended model (three-factor model) is used to test the applicability of gem. The empirical results show that the market risk factor of 1 / 1 is not significant. There may be a positive correlation between stock returns and the growth enterprise market. 2 there are obvious small company effects and book market value effects in the gem market. That is, small market value stocks and value stocks are more likely to get excess returns. 3. There may be serious speculative behavior in the gem market, and investors' investment behavior is lack of professionalism. The explanatory power of the three-factor model is higher than that of the single factor (market risk factor) model, but the final explanatory power is not high, and there are other pricing factors in the gem market. Finally, the corresponding policy recommendations are put forward.
【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;F224

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