本文關(guān)鍵詞：投資機(jī)會(huì)變動(dòng)與風(fēng)險(xiǎn)收益關(guān)系實(shí)證研究　出處：《管理科學(xué)》2012年04期 　論文類型：期刊論文

  更多相關(guān)文章： 投資機(jī)會(huì) 市場風(fēng)險(xiǎn) 跨期風(fēng)險(xiǎn) 風(fēng)險(xiǎn)收益關(guān)系

【摘要】：應(yīng)用跨期資本資產(chǎn)定價(jià)模型研究股市投資機(jī)會(huì)變動(dòng)時(shí)的風(fēng)險(xiǎn)收益關(guān)系和跨期風(fēng)險(xiǎn)對沖策略。以25個(gè)規(guī)模-賬面市值比組合以及擴(kuò)展組合作為檢驗(yàn)資產(chǎn),以經(jīng)濟(jì)、情緒和市場指標(biāo)作為狀態(tài)變量反映投資機(jī)會(huì),以DCC-MVGARCH方法估計(jì)的資產(chǎn)超額收益與市場超額收益的條件協(xié)方差衡量市場風(fēng)險(xiǎn),以DCC-MVGARCH方法估計(jì)的資產(chǎn)超額收益與狀態(tài)變量新息的條件協(xié)方差衡量跨期風(fēng)險(xiǎn),應(yīng)用面板回歸方法檢驗(yàn)資產(chǎn)超額收益與風(fēng)險(xiǎn)的關(guān)系。研究結(jié)果表明,在單狀態(tài)變量中,貨幣供應(yīng)增長率、房地產(chǎn)投資增長率、宏觀經(jīng)濟(jì)景氣指數(shù)、規(guī)模溢價(jià)等新息降低,投資機(jī)會(huì)出現(xiàn)不利變動(dòng),與這些新息負(fù)相關(guān)的資產(chǎn)能對沖投資機(jī)會(huì)的不利變動(dòng);存貸差增長率、利率、股市波動(dòng)等新息增加時(shí),投資機(jī)會(huì)出現(xiàn)不利變動(dòng),與這些新息正相關(guān)的資產(chǎn)能對沖投資機(jī)會(huì)的不利變動(dòng);各模型具有良好的解釋能力,其中規(guī)模溢價(jià)、股市波動(dòng)和貨幣供應(yīng)的解釋能力較高。還對多狀態(tài)變量進(jìn)行檢驗(yàn)、比較,并提供了相應(yīng)投資策略。
[Abstract]:This paper applies the intertemporal capital asset pricing model to study the risk-return relationship and the intertemporal risk hedging strategy when the investment opportunity changes in the stock market. The 25 scale-book market value ratio portfolio and the extended portfolio are used as the test assets. Economic, emotional and market indicators are used as state variables to reflect investment opportunities, and the conditional covariance between asset excess return and market excess return estimated by DCC-MVGARCH method is used to measure market risk. The conditional covariance of asset excess return and state variable innovation estimated by DCC-MVGARCH method is used to measure the intertemporal risk. The panel regression method is used to test the relationship between excess return and risk. The results show that the money supply growth rate, real estate investment growth rate and macroeconomic boom index are among the single state variables. When the scale premium and other innovations decrease, the investment opportunities change unfavorable, and the assets negatively related to these innovations can hedge against the adverse changes of the investment opportunities. When the growth rate of deposit and loan gap, interest rate and stock market fluctuation increase, there will be adverse changes in investment opportunities, and the assets positively related to these innovations will be able to hedge against the adverse changes in investment opportunities; The models have good explanatory ability, among which scale premium, stock market volatility and money supply have higher explanatory power. The multi-state variables are tested, compared, and the corresponding investment strategies are provided.
【作者單位】： 中山大學(xué)嶺南學(xué)院;
【基金】：國家自然科學(xué)基金(70532003)~~
【分類號】：F830.91;F224
【正文快照】： 1引言金融學(xué)家一直關(guān)注資產(chǎn)風(fēng)險(xiǎn)與收益間的權(quán)衡關(guān)系,該關(guān)系對投資組合優(yōu)化、資產(chǎn)超額收益預(yù)測和波動(dòng)率建模具有重要的學(xué)術(shù)意義和實(shí)踐意義。資本資產(chǎn)定價(jià)模型(capital asset pricing model,CAPM)是現(xiàn)代資產(chǎn)定價(jià)理論的基礎(chǔ),在CAPM的理論框架中,投資者通過構(gòu)造投資組合可以分散

【參考文獻(xiàn)】

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