本文選題：基本面指數(shù)　切入點：平滑市值加權(quán)　出處：《上海交通大學》2012年碩士論文

【摘要】：目前，全世界的主流市場標桿指數(shù)以市值加權(quán)。但是股票在指數(shù)中所占權(quán)重也隨著股價被高估而變大，被低估而變小，從而造成了市值加權(quán)指數(shù)所特有的“收益率拖累”�；诖�，在噪聲市場假設下，市值加權(quán)被證明為次優(yōu)的。自從2005年，Arnott率先提出通過會計信息估計的公司基本面規(guī)模來編制市場指數(shù)，基本面指數(shù)這一個全新的概念引起了廣泛的研究和探討，期望可以通過這樣的指數(shù)編制思想獲得比市值加權(quán)指數(shù)更加科學合理的“市場資產(chǎn)組合”�；久嬷笖�(shù)編制的基本想法在于對指數(shù)成分股的基本面權(quán)重進行估計而不是估計其股票具有的內(nèi)在價值。 在本文中，我們基于基本面指數(shù)存在超額收益的理論基礎上，主要對兩種基本面指數(shù)的編制方法在中國A股市場上進行了實證研究。其一是通過其會計信息諸如所有者權(quán)益賬面價值、營業(yè)收入、營業(yè)現(xiàn)金流和股利來篩選股票和確定權(quán)重從而編制指數(shù)，其二是通過不同時間窗寬的平滑市值加權(quán)來編制指數(shù)。 通過對比傳統(tǒng)的市值加權(quán)標桿指數(shù)，如滬深300，我們對各個建立起來的基本面指數(shù)的收益性、風險性、穩(wěn)健性進行了綜合的分析。并通過Fama-French三因子模型進一步分析基本面指數(shù)的超額收益率來源是否具有“規(guī)模傾斜”或者“價值傾斜”。 本文的實證結(jié)果顯示，，在中國A股市場，通過平滑市值加權(quán)的基本面指數(shù)在研究期間2005年至2011年期間確實優(yōu)于市值加權(quán)的標桿指數(shù)并保持了良好的穩(wěn)健性。但是，對于采用會計信息編制的基本面指數(shù)，我們發(fā)現(xiàn)其整體表現(xiàn)并不理想，甚至于有個別指數(shù)明顯落后于市值加權(quán)指數(shù)，從而并不是那么適合中國市場。
[Abstract]:At present, the world's mainstream market benchmark index weighted by market value.But the weight of stocks in the index also increases with the overvaluation of the stock price and is undervalued and smaller, resulting in the "yield drag" characteristic of the market value weighted index.Based on this, under the noise market hypothesis, market value weighted proved to be suboptimal.Since Arnott first proposed to compile the market index by estimating the fundamental scale of the company through accounting information in 2005, the new concept of fundamental index has aroused extensive research and discussion.The author expects to obtain a more scientific and reasonable market asset portfolio than market value's weighted index through such an index compilation idea.The basic idea of compiling the fundamental index is to estimate the fundamental weight of the index component rather than to estimate the intrinsic value of its stock.In this paper, based on the theory of the existence of excess return on the fundamental index, we mainly make an empirical study on the two methods of compiling the fundamental index in the A-share market of China.One is to select stocks and determine weights through accounting information such as book value of owners' equity, operating income, operating cash flow and dividend, and the other is to compile the index by using smooth market value weighted with different time windows.By comparing the traditional market value weighted benchmark index, such as Shanghai and Shenzhen 300, we make a comprehensive analysis of the profitability, risk and robustness of each established fundamental index.The Fama-French three-factor model is used to further analyze whether the excess return source of the fundamental index has "scale tilt" or "value tilt".The empirical results show that in the A-share market of China, the fundamental index weighted by smooth market value is better than the benchmarking index weighted by market value during the study period from 2005 to 2011 and maintains good robustness.However, for the fundamental index compiled by accounting information, we find that its overall performance is not ideal, and even some indexes lag behind market value's weighted index, so it is not so suitable for Chinese market.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F832.51

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