基于特質(zhì)風險的股票市場投資策略研究
發(fā)布時間：2018-09-11 16:45
【摘要】：傳統(tǒng)的投資組合理論和CAPM模型認為，特質(zhì)風險可以通過分散化投資而規(guī)避掉，然而，現(xiàn)實中由于交易成本、風險偏好等因素的影響，投資者并無法進行很好的分散化投資，從而不得不承擔特質(zhì)風險。本文正是在這樣的背景下，從特質(zhì)風險問題出發(fā)，在系統(tǒng)歸納和總結關于特質(zhì)風險的理論和實證研究的基礎上，通過研究特質(zhì)風險與預期收益、投資者行為的關系，結合行為金融學的相關結論，構建了基于特質(zhì)風險的股票市場投資策略，即低特質(zhì)風險的股票采取動量策略，高特質(zhì)風險的股票采取反轉策略。本文得到主要研究結論如下： 首先，本文研究了特質(zhì)風險與預期收益的關系。通過公式和模型推導得出基于特質(zhì)風險的定價模型，模型表明股票的預期收益不僅受系統(tǒng)性風險的影響，還受特質(zhì)風險的影響，從理論上證明了特質(zhì)風險可以得到定價。然后，本文采用能夠刻畫波動率時序特征的EGARCH模型來估計特質(zhì)風險，以橫截面回歸分析和投資組合分析為實證研究方法，研究得出特質(zhì)風險與預期收益之間存在顯著的正相關關系，且在不同的時間區(qū)間都穩(wěn)定的存在，研究表明我國股市并不存在所謂的“特質(zhì)波動率之謎”，造成這種異象的根本原因在于忽視了特質(zhì)波動率的時間序列屬性。 其次，本文研究了機構投資者行為對于特質(zhì)風險及其風險溢酬的影響。本文通過實證研究發(fā)現(xiàn)，機構的大量持股有助于降低股票的特質(zhì)風險，機構持股比例增加，股票的特質(zhì)波動率減少，，機構投資者持股比例越低的股票，特質(zhì)風險越大，股票預期收益越多。文章從機構持股的角度分析和探討特質(zhì)風險與預期收益的關系，進一步指出投資分散化的重要性，并認為投資者無法充分分散化投資是導致特質(zhì)風險正向定價的原因。 最后，本文結合行為金融學的相關理論和特質(zhì)風險的相關結論，構建了基于特質(zhì)風險的股票市場投資策略。通過基于特質(zhì)風險的動量效應和反轉效應分析，發(fā)現(xiàn)特質(zhì)風險越高的股票，其反轉效應越明顯，因此得出這樣一個投資策略，即對低特質(zhì)風險的股票采取動量策略，對高特質(zhì)風險的股票采取反轉策略，經(jīng)過歷史數(shù)據(jù)測試后，能夠明顯的跑贏基準指數(shù)。
[Abstract]:According to traditional portfolio theory and CAPM model, trait risk can be avoided by diversification. However, due to the influence of transaction cost, risk preference and other factors, investors can not make a good diversification investment. So they have to take the risk of idiosyncrasies. It is under this background that this paper starts from the problem of trait risk, on the basis of systematically summarizing and summarizing the theoretical and empirical research on trait risk, through the study of the relationship between trait risk and expected income, investor behavior, and so on. Based on the relevant conclusions of behavioral finance, this paper constructs a stock market investment strategy based on trait risk, that is, stocks with low trait risk adopt momentum strategy and stocks with high trait risk adopt reverse strategy. The main conclusions are as follows: firstly, this paper studies the relationship between trait risk and expected return. The pricing model based on idiosyncratic risk is derived by formula and model. The model shows that the expected return of stock is affected not only by systematic risk, but also by idiosyncratic risk, which proves theoretically that idiosyncratic risk can be priced. Then, we use EGARCH model, which can describe volatility time series, to estimate trait risk. Cross section regression analysis and portfolio analysis are used as empirical research methods. The study shows that there is a significant positive correlation between trait risk and expected return, and it is stable in different time intervals. The study shows that there is no so-called "trait volatility puzzle" in China's stock market. The fundamental reason for this anomaly lies in the neglect of the time series attribute of the idiosyncratic volatility. Secondly, this paper studies the influence of institutional investor behavior on trait risk and risk overpayment. Through empirical research, this paper finds that a large number of institutional holdings can help to reduce the specific risk of the stock, the increase of institutional ownership ratio, the decrease of the volatility of the stock, the lower the proportion of institutional investors, the greater the specific risk. The more stocks are expected to return. This paper analyzes and discusses the relationship between trait risk and expected income from the perspective of institutional shareholding, further points out the importance of diversification, and points out that investors' inability to fully diversify their investment is the reason leading to positive pricing of idiosyncratic risk. Finally, based on the theory of behavioral finance and the conclusion of trait risk, this paper constructs a stock market investment strategy based on idiosyncratic risk. Through the analysis of momentum effect and reversal effect based on trait risk, it is found that the higher the trait risk is, the more obvious the reverse effect is. Adopting reverse strategy for high trait risk stocks can outperform benchmark index obviously after historical data test.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224
本文編號：2237257
[Abstract]:According to traditional portfolio theory and CAPM model, trait risk can be avoided by diversification. However, due to the influence of transaction cost, risk preference and other factors, investors can not make a good diversification investment. So they have to take the risk of idiosyncrasies. It is under this background that this paper starts from the problem of trait risk, on the basis of systematically summarizing and summarizing the theoretical and empirical research on trait risk, through the study of the relationship between trait risk and expected income, investor behavior, and so on. Based on the relevant conclusions of behavioral finance, this paper constructs a stock market investment strategy based on trait risk, that is, stocks with low trait risk adopt momentum strategy and stocks with high trait risk adopt reverse strategy. The main conclusions are as follows: firstly, this paper studies the relationship between trait risk and expected return. The pricing model based on idiosyncratic risk is derived by formula and model. The model shows that the expected return of stock is affected not only by systematic risk, but also by idiosyncratic risk, which proves theoretically that idiosyncratic risk can be priced. Then, we use EGARCH model, which can describe volatility time series, to estimate trait risk. Cross section regression analysis and portfolio analysis are used as empirical research methods. The study shows that there is a significant positive correlation between trait risk and expected return, and it is stable in different time intervals. The study shows that there is no so-called "trait volatility puzzle" in China's stock market. The fundamental reason for this anomaly lies in the neglect of the time series attribute of the idiosyncratic volatility. Secondly, this paper studies the influence of institutional investor behavior on trait risk and risk overpayment. Through empirical research, this paper finds that a large number of institutional holdings can help to reduce the specific risk of the stock, the increase of institutional ownership ratio, the decrease of the volatility of the stock, the lower the proportion of institutional investors, the greater the specific risk. The more stocks are expected to return. This paper analyzes and discusses the relationship between trait risk and expected income from the perspective of institutional shareholding, further points out the importance of diversification, and points out that investors' inability to fully diversify their investment is the reason leading to positive pricing of idiosyncratic risk. Finally, based on the theory of behavioral finance and the conclusion of trait risk, this paper constructs a stock market investment strategy based on idiosyncratic risk. Through the analysis of momentum effect and reversal effect based on trait risk, it is found that the higher the trait risk is, the more obvious the reverse effect is. Adopting reverse strategy for high trait risk stocks can outperform benchmark index obviously after historical data test.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224
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