本文關鍵詞： Fama-French五因子模型 資產(chǎn)定價 效應 投資組合　出處：《內(nèi)蒙古大學》2017年碩士論文　論文類型：學位論文

【摘要】：中國證券市場成立以來,市場管理者不斷規(guī)范市場的相關制度,股票投資者的投資理念和策略也在不斷發(fā)展,影響投資者行為和股票收益率的因素也在不斷變化和日益復雜。研究股權分置改革后的證券市場的影響因素對發(fā)揮證券市場的融資、定價和資源配置功能具有深遠的意義。本文選取了滬深A股主板市場2005年5月至2016年10月,共138個月的行情數(shù)據(jù)及財務數(shù)據(jù)作為研究對象,以Fama-French五因子模型為基礎,按照有效市場假說采用新方法構建了五因子,利用Famma-French方法構建了投資組合。通過3組5x5投資組合和3組3x3x3投資組合對滬深A股主板市場的相關效應進行了經(jīng)驗性分析,并對五因子進行了描述統(tǒng)計和相關性分析。然后對3組5x5投資組合利用回歸模型進行了回歸診斷,按照診斷結果對五因子模型進行了實證分析。最后通過3組5x5投資組合的GRS檢驗找出當前適合滬深A股主板市場的因子模型。研究發(fā)現(xiàn),中國證券市場存在著規(guī)模效應、盈利效應和投資效應,其中規(guī)模效應十分顯著,盈利效應和投資效應在某種分組中顯著,中國股市還存在著一定的反價值效應和反投資效應。構建出的市場因子、規(guī)模因子、價值因子、盈利因子和投資因子對股票收益率有一定的解釋能力;含有市場因子、規(guī)模因子、價值因子和投資因子的四因子模型更適合股權分置改革后的中國證券市場。
[Abstract]:Since the establishment of China's securities market, market managers have constantly regulated the relevant systems of the market, and the investment concepts and strategies of stock investors have also been developing. The factors that affect investor behavior and stock yield are also changing and becoming more and more complex. Study on the influence factors of the stock market after the reform of the split share structure on the financing of the securities market. Pricing and resource allocation are of far-reaching significance. This paper selects 138 months of market data and financial data from May 2005 to October 2016 of Shanghai and Shenzhen A-share main Board market as the research object. Based on the Fama-French five-factor model, the five-factor model is constructed according to the efficient market hypothesis using a new method. Using the Famma-French method to construct the investment portfolio. Through three groups of 5x5 portfolio and three groups of 3x3x3 investment portfolio to Shanghai and Shenzhen A-share motherboard market related effects were analyzed empirically. Then three groups of 5x5 portfolio were diagnosed by regression model. Finally, through the GRS test of three groups of 5x5 portfolio to find out the current factor model suitable for Shanghai and Shenzhen A-share motherboard market. There are scale effect, profit effect and investment effect in Chinese stock market, in which scale effect is very significant, profit effect and investment effect are significant in some grouping. The market factor, the scale factor, the value factor, the profit factor and the investment factor have the certain explanation ability to the stock return rate, and the market factor, the scale factor, the value factor, the profit factor and the investment factor also have the certain counter-value effect and the anti-investment effect. The four-factor model with market factor, scale factor, value factor and investment factor is more suitable for China's stock market after the split share structure reform.
【學位授予單位】：內(nèi)蒙古大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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