本文關鍵詞： 異質信念 分析師盈利預測 股票收益　出處：《復旦大學》2013年碩士論文　論文類型：學位論文

【摘要】：現代資產定價理論認為投資者的投資都是理性的,并且假設投資者對于風險資產的風險收益是具有相同預期的。但是,各種金融異象以及理論研究表明,這個假設是無法成立的,在這個假設的前提下無法解釋很多資產定價的問題,比如金融泡沫等風險資產的系統(tǒng)性高估。直到Miller在1977年將異質信念和賣空限制結合,提出在賣空限制的情況下,樂觀投資者愿意付出高價將股票從悲觀投資者手中買入,從而造成股價的高估。但是隨著信息的更新,分歧收窄,未來的收益降低,股價高估得到修正。 本文延續(xù)了Miller的思想,在研究中國的資本市場時首次嘗試使用了分析師的盈利分歧作為異質信念的代理變量,并討論了使用該指標作為異質信念代理指標的優(yōu)點以及可行性。在模型部分中,發(fā)展了張維(2006)提出的模型,并在此基礎上進行實證。實證的方法基于Fama (1996)以及Diether(2002)使用的因素模型,研究了盈利分歧與盈利分歧之后股票的收益情況,發(fā)現當股票的盈利分歧越高,股票下期收益率越低。并提出這樣的一個股票走勢特征可以作為一個獲得alpha收益的策略,這樣的一個alpha策略在-定時間內是比較穩(wěn)定的。另外,本文還研究了分析師預測分歧的變化與超額收益的關系,認為分析師的預測分歧增大時,股票能夠獲得相對于市場的超額收益,并且分歧值變化是超額收益的格蘭杰原因。 綜合以上的研究結論提出了對于投資者的投資建議以及對于監(jiān)管層的政策建議,以及自己研究存在的局限和未來繼續(xù)研究的發(fā)展方向。
[Abstract]:Modern asset pricing theory holds that investors' investment is rational and assumes that investors have the same expectation of risk return on risky assets. However, various financial anomalies and theoretical studies show that. This assumption is not true, in the premise of this assumption can not explain a lot of asset pricing problems. For example, the systemic overvaluation of risky assets such as financial bubbles. Until 1977, Miller combined heterogeneous beliefs with short selling restrictions and proposed the case of short selling restrictions. Optimists are willing to pay high prices to buy stocks from pessimistic investors, resulting in overvaluation. But as information updates, divisions narrow, future earnings fall, and overvaluation is corrected. In this paper, we continue the idea of Miller, and try to use the profit divergence of analysts as proxy variables of heterogeneous beliefs in the study of China's capital market for the first time. The advantages and feasibility of using this index as a proxy index for heterogeneous beliefs are discussed. In the part of the model, the model proposed by Zhang Wei / 2006 is developed. The empirical method is based on the factor models used by Fama / 1996 and Diether / 2002). After studying the profit difference and profit difference, it is found that the higher the profit difference is, the higher the profit difference is. The lower the stock yield in the next period, the lower the stock trend characteristics can be used as a strategy to obtain alpha returns. Such a alpha strategy is more stable in a fixed time. In addition, this paper studies the relationship between the variation of analyst's forecast divergence and the excess return, and thinks that when the analyst's forecast divergence increases, the paper also studies the relationship between the variation of the analyst's forecast divergence and the excess return. Stocks are able to achieve excess returns relative to the market, and the variation of divergence values is the Granger cause of excess returns. Based on the above conclusions, the paper puts forward the investment suggestions for investors and the policy recommendations for the regulatory level, as well as the limitations of their own research and the future development direction of further research.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

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本文編號：1441713