本文關鍵詞：行業(yè)因素對股票收益特征的影響及定價研究　出處：《天津大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 行業(yè) 股票收益 資產定價模型 主成分分析

【摘要】：首先,本文考察行業(yè)分類對股票收益特征的影響。以2008年1月到2011年12月的A股公司為研究對象,利用面板回歸方法,借助理論模型對行業(yè)分類是否影響股票收益特征進行研究,檢驗股票收益的規(guī)模、賬面市值比和動量特征是否存在行業(yè)效應以及行業(yè)分類對股票收益特征的影響是否存在月份效應。研究發(fā)現(xiàn),對于中國股票市場,除了在3月份,行業(yè)分類影響賬面市值比效應,而在其他月份,行業(yè)分類對股票收益特征沒有影響;另外,研究發(fā)現(xiàn)行業(yè)分類對股票收益的賬面市值比效應的影響存在“3月效應”,但是,把所有月份作為一個整體來看時,行業(yè)分類對賬面市值比效應仍沒有影響。因此,可以初步判定規(guī)模、賬面市值比以及動量效應都與行業(yè)分類無關,股票收益特征不存在行業(yè)效應,也就是說,行業(yè)分類對規(guī)模、賬面市值比及動量效應都沒有影響。該研究結果為探討行業(yè)因素參與定價的能力提供了初步前提。其次,為了進一步分析行業(yè)與股票收益特征的關系,本文研究了股票收益特征的溢價關于行業(yè)的對稱性。以2008年1月到2011年12月的A股公司為研究樣本,運用面板回歸的方法,檢驗了股票收益特征的溢價對高于行業(yè)公司特征平均值和低于行業(yè)公司特征平均值的公司是否具有對稱性。研究發(fā)現(xiàn),對于中國股票市場,規(guī)模和賬面市值比的溢價對于低于和高于行業(yè)平均水平的公司來講是對稱的;而動量溢價表現(xiàn)出非對性現(xiàn)象,這意味著動量溢價對低于和高于行業(yè)平均水平的公司來講是存在非對稱性的。最后,分析行業(yè)因素對股票收益的影響,探究行業(yè)因素參與定價的能力。以2007年1月到2011年12月為研究樣本,分別在四因子模型和三因子模型的基礎上,利用面板回歸及主成分分析方法,研究行業(yè)因素參與資產定價的能力。研究結果發(fā)現(xiàn),行業(yè)因素影響股票收益,但是,在四因子模型的基礎上,提取的行業(yè)公共因子沒有表現(xiàn)出顯著的風險溢價;而在三因子模型的基礎上,提取的行業(yè)公共因子則表現(xiàn)出顯著的風險溢價,因此,最后建立了基于三因子模型的含有行業(yè)因子的多因素資產定價模型。
[Abstract]:First, this paper examines the impact of industry classification on stock return characteristics. From January 2008 to December 2011, A shares of the company as the research object, using the panel regression method, classification with the help of the theory model of industry affect the stock returns characteristics of test scale of stock returns, the book market ratio and whether there is momentum characteristics of month effect influence effect of industry and industry classification on stock return characteristics. The study found that the China stock market, except in March, the industry classification effect of book to market effect, but in the other months, industry classification has no effect on the stock return characteristics; in addition, the study found that the industry classification of the stock return book to market effect exist in March however, the effect, all month as a whole, the industry classification value than the effect still did not have influence on the book, so, You can determine the initial size of the book market ratio and the momentum effect has nothing with the industry, there is no industry effect of stock return characteristics, that is to say, the industry classification of the scale, did not affect the book market ratio and momentum effect. The results of this study provide a preliminary premise to industry factors and pricing ability parameters. Secondly, in order to further analysis of the industry and the stock return characteristics, this paper studies the symmetry characteristics of stock return premium on industry. From January 2008 to December 2011 of A shares of the company as the research sample, using panel regression method, to examine whether the average stock return characteristics of premium for the company is higher than the industry average and lower than the industry characteristics of firm characteristics the company has symmetry. The study found that the China stock market, size and book to market premium for lower and higher than the industry average water Flat company is symmetric; while the momentum showed on premium phenomenon, which means that the momentum premium is asymmetric to lower and higher than the industry average level of the company. Finally, analysis of the impact of industry factors on stock returns, the ability to explore industry factors involved in pricing from January 2007 to December 2011. The research sample, respectively, based on four factor model and three factor model, using panel regression and principal component analysis method, capacity of industry factors involved in asset pricing. The results of the study showed that industry factors that affect the stock return, but based on four factor model, extraction industry showed no significant common factor the risk premium; and based on three factor model, the extraction of industry public factor showed a significant risk premium, therefore, finally established based on three with sub model Multi factor asset pricing model for industry factors.

【學位授予單位】：天津大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1399368