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  本文關鍵詞：條件資產(chǎn)定價模型與定價因子的研究　出處：《浙江工商大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 非參數(shù)估計 條件資產(chǎn)定價模型 Fama-MacBeth檢驗 定價誤差 特質(zhì)風險

【摘要】：有效市場假說認為資產(chǎn)價格可以正確反映市場信息,基于市場價格的有效性,資產(chǎn)定價理論得以迅速發(fā)展。然而假設條件的完美也決定了資本資產(chǎn)定價模型解釋市場金融異象的局限性,使得人們對其不斷提出質(zhì)疑。有效市場假說的支持者認為資產(chǎn)定價模型的失效并非因為資產(chǎn)組合的市場價格是無效的,而是因為無條件定價模型忽略了資產(chǎn)組合風險的動態(tài)變化,使得資產(chǎn)定價模型的研究逐漸從靜態(tài)的無條件向時變的條件模型發(fā)展。 本文將條件Fama-French三因子模型應用到中國股票市場,對中國股市分別進行了資本資產(chǎn)定價模型和Fama-French三因子模型的比對；無條件資產(chǎn)定價模型和條件資產(chǎn)定價模型的比對；條件模型中非參數(shù)估計方法和滾動窗口估計方法的比對。我們發(fā)現(xiàn)條件Fama-French三因子模型可以解釋傳統(tǒng)CAPM不能解釋的規(guī)模效應和賬面市值比效應。通過對25個資產(chǎn)組合的長期定價誤差進行聯(lián)合檢驗,我們檢驗了條件Fama-French三因子模型在中國股票市場上的適用性。通過對比條件和無條件資產(chǎn)模型的定價誤差,我們發(fā)現(xiàn)條件Fama-French三因子模型的定價誤差明顯要小于無條件Fama-French三因子模型和資本資產(chǎn)定價模型,結果表明通過時變載荷捕捉了動態(tài)風險之后,Fama-French三因子模型加強了對股票橫截面收益率差異的解釋能力。同時我們分別討論了三因子載荷長期和時變的特性,研究不同組合之間對風險敏感系數(shù)的差異,從而探討不同組合風險敞口的時變特征。 本文并未止步于風險因子和資產(chǎn)超額收益率的系統(tǒng)關系研究,我們進一步識別了市場因子、價值因子、規(guī)模因子的風險類型。通過條件Fama-MacBeth橫截面檢驗方法我們對因子載荷的市場風險溢價分別進行了全時段檢驗、分時段檢驗、市場上下行期間檢驗。我們得到三因子模型中市場因子和價值因子作為定價因子擁有顯著的市場溢價,定價因子相應的系統(tǒng)風險也決定著資產(chǎn)組合的價格。而價值因子僅由特質(zhì)風險引起,市場不會一直對其風險進行補償。
[Abstract]:The efficient market hypothesis that asset prices can correctly reflect the market information, effective market price based on the asset pricing theory developed rapidly. However, the perfect assumptions also determines the capital asset pricing model to explain the limitations of financial market anomalies, makes people to constantly questioned. Proponents of the efficient market hypothesis is not asset pricing failure the model of portfolio because the market price is invalid, but because of the dynamic changes of unconditional pricing model ignores the portfolio risk, the study of asset pricing models to gradually from the time-varying static conditions without model development.
In this paper, the application conditions of Fama-French three factor model to China stock market, stock market of China respectively compared with the capital asset pricing model and Fama-French three factor model; comparison of unconditional asset pricing model and conditional asset pricing model; conditional model in non parametric estimation method and rolling window estimation method are compared. We found Fama-French the three factor model can explain the size effect and book to market the traditional CAPM can not explain the effect. Joint inspection by long-term pricing errors for 25 asset portfolio, we tested the applicability of Fama-French three factor model in China stock market. Through the comparison of the pricing error of conditional and unconditional asset model, we find that pricing error Fama-French three factor model is significantly smaller than the unconditional Fama-French three factor model and capital The asset pricing model, the results show that the time-varying load to capture the dynamic risk after the Fama-French three factor model to strengthen the differences on the cross-section of stock returns. At the same time, we discuss the ability characteristics of three factor load long-term and time-varying, differences in risk sensitivity coefficient of different combinations, so as to explore different combinations exposure to time-varying characteristics.
This paper did not stop on the relationship between risk factor and system excess return rate of assets, we further identify the market factor, value factor, risk type scale factor. The whole time don't test by Fama-MacBeth cross section test method we the factor loading of the market risk premium, sub period inspection, inspection on the market downturn we get the market factor and value factor three factor model as the pricing factor has significant market risk premium pricing system, the corresponding factor also determines the portfolio price. But the value factor is only caused by idiosyncratic risk, the market does not always compensate for the risk.

【學位授予單位】：浙江工商大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F830.91

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本文編號：1364637