本文選題：條件beta定價模型 + Fama-French三因子模型��； 參考：《浙江工商大學》2012年碩士論文

【摘要】：資本資產(chǎn)定價模型誕生半個世紀來,從非條件(靜態(tài))模型到現(xiàn)在的條件模型,各國學者不斷通過各種檢驗對模型作出修正和發(fā)展。最近十多年來,我國學者對我國的股票市場,基金市場等也做了不少實證研究�？傮w來說,他們的研究多從修改變量和改變估計方法兩個角度入手,得到的結(jié)論也多有出入。在對風險因子的選擇上存在分歧,而在beta系數(shù)的研究上則以對其長期均值的顯著性檢驗為主。 本文借鑒了國外新提出的一種兩步驟非參數(shù)回歸分析方法對FF三因子模型進行了較細致的研究。這種方法的好處在于可以放寬對模型假設(shè)的限制,并利用迭代方法逐步逼近得到更接近真實值的估計值。本文便在此基礎(chǔ)上對風險因子的市場溢價以及相應(yīng)beta系數(shù)的變化趨勢和性質(zhì)做了較深入的研究,而不僅僅只是成立與否的檢驗。 首先,本文從時間序列數(shù)據(jù)中用非參數(shù)方法估計出每個資產(chǎn)在每個時段的條件beta值。在這一步中,筆者參考了其他學者常用的四種狀態(tài)變量,通過兩兩組合成了6組工具變量,并根據(jù)擬合的程度挑選出影響最大的兩種變量。 其次,本文從收益率和已得到的beta系數(shù)的橫截面數(shù)據(jù)中估計出時變的風險因子市場溢價,并通過懲罰函數(shù)最小二乘法找出最優(yōu)窗寬,對beta系數(shù)重新進行迭代估計,得到更精確的時變beta系數(shù)。 然后,本文基于上述的實證結(jié)果對風險因子的市場溢價以及beta系數(shù)的性質(zhì)做了詳細的分析。筆者認為,FF三因子模型在我國股票市場是成立的,三個因子的存在是顯著的,但并不是在所有時段均具有明顯效應(yīng)。另外,三種beta系數(shù)均隨規(guī)模的變大而變小,但與凈值市價比之間的關(guān)系則并不像先前一些學者認為的簡單的線性相關(guān)；三種beta系數(shù)的波動范圍隨規(guī)模和凈值市價比的變大而變小,但表現(xiàn)出一定的雙峰性,在兩個比較接近的數(shù)值周圍波動,可能與我國股票市場數(shù)據(jù)還不夠充足有關(guān)。 最后,本文還對45個行業(yè)的beta系數(shù)性質(zhì)做了研究。實證結(jié)果認為,市場因子的顯著性很大,其效應(yīng)的存在性毋庸置疑,其中新興行業(yè)的市場因子beta系數(shù)較大,波動也較大；而規(guī)模因子和凈值市價比因子在我國股票市場的確是存在的,但是受到選取的行業(yè)和時段的影響,并不是總能被觀測到。
[Abstract]:Since the capital asset pricing model was born for half a century, from the non-conditional (static) model to the present conditional model, scholars from various countries have constantly revised and developed the model through various tests. In the last ten years, Chinese scholars have made many empirical studies on the stock market and fund market of our country. In general, their studies mainly focus on modifying variables and changing estimation methods, and their conclusions are different. There are differences in the choice of risk factors, while in the study of beta coefficient, the significance test of its long-term mean is the main factor. In this paper, a new two-step nonparametric regression analysis method proposed by foreign countries is used to study FF three-factor model in detail. The advantage of this method is that it can relax the restrictions on the model assumptions and use the iterative method to gradually approximate the estimated value which is closer to the real value. On this basis, this paper makes a deep study on the market premium of risk factors and the change trend and properties of the corresponding beta coefficient, not just the test of whether it is established or not. Firstly, the conditional beta value of each asset in each time period is estimated by nonparametric method from time series data. In this step the author refers to the four state variables commonly used by other scholars and combines them into six groups of tool variables and selects the two most influential variables according to the degree of fitting. Secondly, the time-varying risk factor market premium is estimated from the cross-section data of the return rate and the obtained beta coefficient, and the optimal window width is found by the penalty function least square method, and the beta coefficient is reestimated iteratively. A more accurate time-varying beta coefficient is obtained. Then, based on the above empirical results, this paper makes a detailed analysis of the market premium of risk factors and the nature of beta coefficient. The author thinks that the three-factor model is established in the stock market of our country, and the existence of the three factors is remarkable, but it does not have obvious effect in all periods. In addition, the three beta coefficients become smaller with the increase of the scale, but the relationship with the net worth market value ratio is not as simple linear correlation as some previous scholars thought; The fluctuation range of the three beta coefficients becomes smaller with the increase of the scale and the net value ratio, but it shows a certain bimodal property. The fluctuation around the two relatively close values may be related to the insufficient data of the stock market in our country. At last, this paper studies the properties of beta coefficient in 45 industries. The empirical results show that the significance of market factors is great, and the existence of market factors is beyond doubt. Among them, the beta coefficient of market factors in emerging industries is large and the volatility is large. The scale factor and the net worth market price factor do exist in China's stock market, but they are not always observed due to the influence of selected industries and time periods.
【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;F832.51

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