【摘要】：股票收益和投資風險的相關關系一直是金融學理論研究的核心問題。近年來,關于特質風險和股票收益的研究正成為研究熱點,但學者們尚未就二者的相關關系得出一致結論。首先,國內對特質風險和股票收益相關關系的研究主要運用投資組合分析法定性反映,在研究方法上需要創(chuàng)新。其次,針對特質風險和股票收益相關關系影響因素的研究,也存在著理論和實證方面的不足�；诖�,本文首先采用分位數(shù)回歸分析法刻畫十個分位點,對股票特質風險與收益的相關關系進行量化實證檢驗;其次,結合資產(chǎn)定價與行為金融的理論和實證結果,將異質信念引入到上述相關性的研究中來,并使用層次回歸分析方法進一步探索異質信念對特質風險與股票收益相關關系的影響。本文以2006年1月至2014年6月滬市主板A股市場的股票為研究樣本。首先,使用Fama-French三因子模型利用日度數(shù)據(jù)對每支股票進行逐月回歸,以估計樣本股票的月度特質風險。其次,在利用投資組合分析法定性分析特質風險和股票收益相關關系的基礎上,使用分位數(shù)回歸分析法進行量化分析,發(fā)現(xiàn)“特質風險之謎”僅存在于收益率較低的樣本股票中。在收益率較高的股票中,特質風險和股票收益呈正相關關系且隨著股票收益率分位數(shù)的增大特質風險和股票收益的正相關關系增強。再次,使用Fama-Mac Beth兩步回歸分析法檢驗了異質信念對股票收益的影響。最后,通過層次回歸分析,發(fā)現(xiàn)異質信念和特質風險對股票收益的影響存在交互效應,異質信念正向影響特質風險與股票收益的相關性,即股票交易中存在的異質信念越大,特質風險和股票收益的正相關關系越顯著。本文用多種實證方法檢驗特質風險和股票收益的相關關系及影響因素,在研究方法上具有一定的創(chuàng)新性;將行為金融理論與資產(chǎn)定價理論結合在一起,發(fā)現(xiàn)了異質信念對其相關關系的解釋作用,具有一定的理論意義。
[Abstract]:The relationship between stock return and investment risk is always the core of financial theory research. In recent years, the research on trait risk and stock return has become a hot topic, but scholars have not reached a consistent conclusion on the relationship between them. Firstly, the domestic research on the relationship between trait risk and stock return is mainly reflected qualitatively by portfolio analysis, and the research method needs innovation. Secondly, there are theoretical and empirical deficiencies in the study of factors influencing the relationship between trait risk and stock return. Based on this, this paper firstly uses the quantile regression analysis method to depict ten loci, and carries on the quantitative empirical test to the stock trait risk and the income correlation; Secondly, combining the theoretical and empirical results of asset pricing and behavioral finance, the heterogeneous beliefs are introduced into the study of the above correlation. The influence of heterogeneous beliefs on the relationship between trait risk and stock returns is further explored by using hierarchical regression analysis. From January 2006 to June 2014, A-share market of Shanghai stock market is taken as the research sample. First, the Fama-French three-factor model is used to estimate the monthly trait risk of the sample stock by using the daily data to regress each stock month by month. Secondly, on the basis of qualitative analysis of the relationship between trait risk and stock return by portfolio analysis, quantile regression analysis is used to analyze the relationship between trait risk and stock return. It is found that trait risk Mystery exists only in sample stocks with lower yield. In the stocks with higher returns, trait risk is positively correlated with stock returns, and the positive correlation between trait risk and stock returns increases with the increase of the quantiles of stock returns. Thirdly, Fama-Mac Beth two-step regression analysis is used to test the influence of heterogeneous beliefs on stock returns. Finally, through hierarchical regression analysis, we find that heterogeneity belief and trait risk have interactive effects on stock returns. Heterogeneity beliefs positively affect the correlation between trait risk and stock returns, that is, the more heterogeneity beliefs exist in stock trading, the more heterogeneous beliefs exist in stock trading. The positive correlation between trait risk and stock return is more significant. This paper uses a variety of empirical methods to test the relationship between trait risk and stock returns and the influencing factors, which is innovative in the research methods. Combining behavioral finance theory with asset pricing theory, the author finds that heterogeneous beliefs explain the correlation between them, which has certain theoretical significance.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

【參考文獻】

相關期刊論文 前1條

1 黃波;李湛;顧孟迪;;基于風險偏好資產(chǎn)定價模型的公司特質風險研究[J];管理世界;2006年11期

，

本文編號：2397100