本文關(guān)鍵詞：三因素模型的改進(jìn)及其在深圳證券市場的實(shí)證研究　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： Fama-French三因素模型 股票收益率 流通市值占比

【摘要】：在Fama和French1992年發(fā)表的“預(yù)期股票收益率的橫截面研究”一文中,他們通過研究美國股票市場1929年至1963年股票價(jià)格的異常波動(dòng),發(fā)現(xiàn)在美國股票市場上市場風(fēng)險(xiǎn)p與股票平均收益率之間缺乏明顯的正向線性關(guān)系；而且當(dāng)β不變時(shí),股票規(guī)模與其平均收益率成反比；當(dāng)規(guī)模不變時(shí),市場風(fēng)險(xiǎn)p與股票平均收益率無關(guān),價(jià)值與股票平均收益率成正比。 中國股票市場由于發(fā)展特點(diǎn)和市場環(huán)境完全不同于西方股票市場,因此以西方自由市場經(jīng)濟(jì)為基礎(chǔ)的現(xiàn)代金融理論能否適用于中國的現(xiàn)實(shí)?隨著資產(chǎn)定價(jià)理論研究的深入,我國學(xué)者對Fama和French的模型在國內(nèi)證券市場的適用性進(jìn)行了檢驗(yàn),但由于樣本及數(shù)據(jù)的差異造成實(shí)證結(jié)果不一,對于此模型是否適用于國內(nèi)股票市場,目前學(xué)術(shù)界還存在著較多爭議。 近年來我國多層次資本市場體系的建設(shè)取得了重大成果,這也深刻影響了我國股市的內(nèi)在運(yùn)行結(jié)構(gòu)。在此背景下,本文在總結(jié)國外資產(chǎn)定價(jià)理論及發(fā)展方向的基礎(chǔ)上,采用FF的方法和模型對深圳證券市場2006年1月到2011年12月的股票平均收益率進(jìn)行回歸分析,以檢驗(yàn)FF的結(jié)論是否適用于深圳證券市場。研究結(jié)果表明,在深圳市場股票平均收益率的變動(dòng)中的確存在規(guī)模和價(jià)值效應(yīng),即公司規(guī)模與股票的平均收益率呈現(xiàn)負(fù)相關(guān)關(guān)系,而公司的賬面市場價(jià)值比與股票的平均收益率呈現(xiàn)正相關(guān)關(guān)系。但市場風(fēng)險(xiǎn)因素p、規(guī)模因素以及價(jià)值因素仍不能完全解釋深圳市場股票的平均收益率變動(dòng)。 考慮到目前國內(nèi)市場流通股與非流通股依然并存,而流通股比重在一定程度上反映了公司產(chǎn)權(quán)結(jié)構(gòu)和經(jīng)營效率,因此上市企業(yè)的流通市值占比可能對股票收益率具有解釋力。本文通過引入流通市值占比指標(biāo),對標(biāo)準(zhǔn)的FF三因素模型做了改進(jìn),并進(jìn)行了實(shí)證檢驗(yàn),結(jié)果表明,相比FF三因素模型,改進(jìn)后的模型在擬合優(yōu)度上有一定提高,同時(shí)流通市值占比的確能夠解釋深圳證券市場股票收益率,并且模型提高了接受股票收益率被完全解釋的可能性。
[Abstract]:In Fama and French1992 in the year published in the expected return on the cross-section of the stock study. By studying the abnormal fluctuation of stock price in American stock market from 1929 to 1963, they found that there is no obvious positive linear relationship between market risk p and average stock yield in American stock market. And when 尾 is constant, the stock size is inversely proportional to its average return. When the scale is constant, the market risk p has nothing to do with the stock average return, and the value is directly proportional to the stock average return. Because the development characteristics and market environment of Chinese stock market are completely different from those of western stock market, can the modern financial theory based on western free market economy be applicable to the reality of China? With the further study of asset pricing theory, Chinese scholars have tested the applicability of Fama and French models in domestic securities market, but the empirical results are different due to the difference of samples and data. There are still many controversies about whether this model is suitable for domestic stock market. In recent years, great achievements have been made in the construction of multi-level capital market system in China, which has also profoundly affected the internal operating structure of China's stock market. This paper summarizes the foreign asset pricing theory and development direction on the basis of. This paper uses FF method and model to analyze the average return rate of Shenzhen stock market from January 2006 to December 2011. In order to test whether FF's conclusion is applicable to Shenzhen stock market, the research results show that there is a scale and value effect in the change of average return rate of stock in Shenzhen market. That is, the size of the company is negatively correlated with the average return of the stock, while the book value ratio of the company is positively correlated with the average return of the stock, but the market risk factor p. The scale factor and the value factor still cannot explain the Shenzhen stock average yield movement completely. Considering that the current domestic market tradable shares and non-tradable shares still coexist, and the proportion of tradable shares to a certain extent reflects the structure of the company's property rights and operational efficiency. Therefore, the market value share of listed enterprises may have an explanatory power on the stock yield. This paper improves the standard FF three-factor model by introducing the market value ratio index, and carries out an empirical test. The results show that compared with FF three-factor model, the improved model can improve the goodness of fit, and the ratio of market value to market value can indeed explain the stock yield in Shenzhen stock market. And the model increases the possibility of accepting that the stock return rate is fully explained.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1415339