本文選題：資產(chǎn)定價(jià)模型　切入點(diǎn)：非參數(shù)與半?yún)?shù)　出處：《南京財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：自從深圳證券市場(chǎng)與上海證券市場(chǎng)成立以來,經(jīng)過短短二十年的發(fā)展,中國(guó)資本市場(chǎng)取得了巨大的進(jìn)步,成為全球第二資本市場(chǎng)。中國(guó)金融資本市場(chǎng)對(duì)于全球金融市場(chǎng)的影響作用越來越大,中國(guó)資本市場(chǎng)開放程度逐漸提高,因此需要建立能準(zhǔn)確反映我國(guó)證券市場(chǎng)運(yùn)行的資產(chǎn)定價(jià)模型,揭示資本市場(chǎng)風(fēng)險(xiǎn)與收益的關(guān)系。文章在借鑒國(guó)內(nèi)外研究成果的基礎(chǔ)上,結(jié)合我國(guó)股市的具體特點(diǎn),利用非參數(shù)和半?yún)?shù)的方法對(duì)我國(guó)證券市場(chǎng)的資產(chǎn)定價(jià)進(jìn)行研究。論文首先對(duì)抽樣獲得的每只股票均采用非參數(shù)光滑樣條方法建立單因子資產(chǎn)定價(jià)模型并進(jìn)行估計(jì),分析這種模型能否解釋我國(guó)資本市場(chǎng)的時(shí)變市場(chǎng)風(fēng)險(xiǎn)和非線性資產(chǎn)定價(jià),基于該非參數(shù)資本市場(chǎng)特征線(cML)檢驗(yàn)β系數(shù)的線性和穩(wěn)定性。并將非參數(shù)單因子模型與線性CAPM模型的結(jié)果進(jìn)行比較,找出兩個(gè)模型擬合效果、β系數(shù)、α系數(shù)的差異。文章還以同樣的思路和方法建立Fama-French三因子的線性模型與非參數(shù)、半?yún)?shù)模型,對(duì)我國(guó)股市進(jìn)行研究,并將結(jié)果與Fama-French的線性三因子模型進(jìn)行比較。通過實(shí)證建模分析,論文得出以下主要結(jié)論：1.非線性CAPM模型對(duì)于我國(guó)證券市場(chǎng)的解釋力優(yōu)于傳統(tǒng)的線性CAPM模型,這不僅體現(xiàn)在似然比檢驗(yàn)與模型擬合效果比較中,還體現(xiàn)在通過采用非參數(shù)方法繪制的特征曲線可以生動(dòng)反映個(gè)股的α值都表現(xiàn)為隨著市場(chǎng)收益的變化而變動(dòng),這也就證明了α值存在時(shí)變性,而傳統(tǒng)的線性CAPM模型假定α值是固定的常數(shù),不隨市場(chǎng)態(tài)勢(shì)轉(zhuǎn)變而變化是錯(cuò)誤的。2.盡管通過Wilcoxon-Mann-Whitney對(duì)大中小三個(gè)規(guī)模組的股票進(jìn)行檢驗(yàn),不能認(rèn)為通過線性方法與非參數(shù)方法求得的β系數(shù)存在差異,但是不論規(guī)模大小以及拒絕還是接受線性CAPM模型,非參數(shù)方法繪制的個(gè)股β值都表現(xiàn)為隨著市場(chǎng)收益的變化而變動(dòng),線性CAPM模型暗含著β系數(shù)是不變常數(shù)的假設(shè)被否定,即證明了β系數(shù)同樣具有時(shí)變性。3.我國(guó)證券市場(chǎng)存在規(guī)模效應(yīng),對(duì)規(guī)模效應(yīng)的解釋,可以從各個(gè)上市公司業(yè)績(jī)和二級(jí)市場(chǎng)交易這兩個(gè)不同的層面去理解。4.賬面市值比效應(yīng)僅僅在小規(guī)模(S)組中有所體現(xiàn)；而在中等規(guī)模(M)組與大規(guī)模(B)組中并沒有這種效應(yīng)。5.非參數(shù)三因子模型發(fā)現(xiàn)β值、規(guī)模因子sMB與賬面市值比因子HML的系數(shù)同樣存在時(shí)變性,線性三因子模型并不能準(zhǔn)確的解釋股票的超額收益,非參數(shù)模型的優(yōu)越性再一次得到體現(xiàn)。6.為了選擇最能準(zhǔn)確刻畫我國(guó)證券市場(chǎng)的資產(chǎn)定價(jià)模型,分別建立線性三因子模型、非參數(shù)三因子模型與各個(gè)半?yún)?shù)三因子模型,并對(duì)模型進(jìn)行比較和假設(shè)檢驗(yàn),結(jié)論發(fā)現(xiàn)非參數(shù)三因子模型解釋力最強(qiáng)。
[Abstract]:Since the establishment of the Shenzhen Securities Market and the Shanghai Securities Market, after just 20 years of development, China's capital market has made great progress. As the second capital market in the world, China's financial capital market is playing a more and more important role in the global financial market, and the opening up of China's capital market is gradually increasing. Therefore, it is necessary to establish an asset pricing model that can accurately reflect the operation of China's securities market, and to reveal the relationship between capital market risks and returns. Using non-parametric and semi-parametric methods to study the asset pricing in China's securities market. Firstly, the paper uses the non-parametric smooth spline method to establish a single-factor asset pricing model and estimates the asset pricing model. Whether this model can explain the time-varying market risk and nonlinear asset pricing in China's capital market is analyzed. Based on the nonparametric capital market characteristic line, we test the linearity and stability of 尾 coefficient, and compare the results of the nonparametric single factor model with the linear CAPM model. To find out the difference of fitting effect between the two models, 尾 coefficient and 偽 coefficient. The paper also establishes the linear model and non-parametric and semi-parametric model of Fama-French three-factor with the same thinking and method, and studies the stock market in our country. By comparing the results with Fama-French 's linear three-factor model, the paper draws the following main conclusions: 1. The nonlinear CAPM model is superior to the traditional linear CAPM model in explaining the stock market in China. This is not only reflected in the comparison between likelihood ratio test and model fitting effect, but also in that the characteristic curve drawn by non-parametric method can vividly reflect that the 偽 value of individual stock changes with the change of market income. This proves that the 偽 value is time-varying, while the traditional linear CAPM model assumes that the 偽 value is a fixed constant and does not change with the change of market situation. The 尾 coefficients obtained by the linear method and the nonparametric method cannot be considered to be different, but regardless of the size and the rejection or acceptance of the linear CAPM model, The 尾 values of individual stocks plotted by the nonparametric method change with the change of market returns. The assumption that the 尾 coefficient is constant is denied in the linear CAPM model. It is proved that the 尾 coefficient is also time-varying. 3. There is a scale effect in the stock market of our country, and the explanation of the scale effect is discussed. It can be understood from the two different levels of performance of listed companies and secondary market trading. The book market value ratio effect is only reflected in the small scale Steam; However, there is no such effect in the medium scale M) group and the large scale B group. The nonparametric three factor model shows 尾 value, and the coefficient of the scale factor sMB and the book market value ratio factor HML is also time-varying. Linear three-factor model can not accurately explain the excess return of stock, and the superiority of non-parametric model is reflected again. In order to select the asset pricing model which can best describe the stock market in China, the linear three-factor model is established separately. The non-parametric three-factor model is compared with each semi-parametric three-factor model. The conclusion is that the non-parametric three-factor model has the strongest explanatory power.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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