發(fā)布時間：2019-03-28 12:37

【摘要】：橫截面收益異象是在股票市場中廣泛存在的現(xiàn)象。大量針對世界各國股票市場的研究發(fā)現(xiàn),與公司基本面相關(guān)的特征變量,包括公司規(guī)模(ME)、賬面市值比(BE/ME)和盈余價格比(E/P)等能解釋公司股票未來的收益率,具有相近特征值的公司的股票價格往往表現(xiàn)出同向的變化。這與有效市場假說(EMH)和資本資產(chǎn)定價模型(CAPM)相悖。因此,許多學者致力于橫截面收益現(xiàn)象及形成原因的研究,試圖用現(xiàn)代金融理論和行為金融理論來解釋橫截面收益現(xiàn)象。 橫截面收益現(xiàn)象的研究告訴我們,利用某些特征值構(gòu)建出的股票組合具有溢價效應,因而可以獲得超額收益。本文以此為出發(fā)點,首先對中國股票市場的橫截面收益現(xiàn)象進行驗證,包括橫截面收益現(xiàn)象的存在性、顯著性、穩(wěn)定性以及演變規(guī)律。進而根據(jù)特征變量構(gòu)建組合,考察組合在各期間的表現(xiàn)。最后探討優(yōu)化組合收益率的方法。本文選取流通市值和賬面市值比兩個特征變量,對2006年6月-2011年5月期間中國股票市場橫截面收益現(xiàn)象的存在性以及顯著性進行實證檢驗后發(fā)現(xiàn),規(guī)模效應存在并且是顯著的,而價值效應存在但并不顯著。以行業(yè)配置選股為目的,進而考察了房地產(chǎn)板塊的橫截面收益現(xiàn)象,結(jié)果發(fā)現(xiàn)規(guī)模效應和價值效應都存在,但是均不顯著。最后從組合調(diào)整頻率和權(quán)重的分配角度對組合的優(yōu)化進行探索：分析組合收益率隨調(diào)整頻率變化的規(guī)律,進而論證了最優(yōu)調(diào)整頻率的存在；試圖調(diào)整權(quán)重分配來提高組合收益率,并探討了此方法改善組合收益率的局限性。
[Abstract]:Cross-sectional income anomaly is a widespread phenomenon in the stock market. A large number of studies on stock markets around the world have found that characteristic variables related to corporate fundamentals, including firm size (ME), Book-to-market ratio (BE/ME) and earnings-price ratio (E / P) can explain the future return of a company's stock, and the stock price of a company with similar eigenvalues tends to change in the same direction. This is contrary to the efficient market hypothesis (EMH) and the capital asset pricing model (CAPM). Therefore, many scholars are devoted to the study of cross-sectional income phenomenon and its formation, trying to explain the cross-sectional return phenomenon by modern financial theory and behavioral financial theory. The study of cross-sectional return phenomenon tells us that the stock portfolio constructed by using some characteristic values has a premium effect, so the excess return can be obtained. Taking this as a starting point, this paper first verifies the cross-section return phenomenon of Chinese stock market, including the existence, significance, stability and evolution of cross-section return phenomenon. Then the combination is constructed according to the characteristic variables, and the performance of the combination in each period is investigated. Finally, the method of optimizing portfolio yield is discussed. This paper selects two characteristic variables, circulation market value and book market value ratio, and empirically tests the existence and significance of cross-sectional returns in Chinese stock market from June 2006 to May 2011. Scale effect exists and is significant, but value effect exists but not significant. For the purpose of industry allocation and stock selection, the cross-sectional income phenomenon of the real estate sector is investigated. The results show that both the scale effect and the value effect exist, but they are not significant. Finally, the optimization of portfolio is explored from the angle of distribution of combination adjustment frequency and weight: analyzing the rule of portfolio yield changing with adjustment frequency, and demonstrating the existence of optimal adjustment frequency; This paper attempts to adjust the weight distribution to improve the portfolio return rate, and discusses the limitations of this method to improve the portfolio return rate.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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