【摘要】：股票收益和投資風(fēng)險(xiǎn)的相關(guān)關(guān)系一直是金融學(xué)理論研究的核心問(wèn)題。近年來(lái),關(guān)于特質(zhì)風(fēng)險(xiǎn)和股票收益的研究正成為研究熱點(diǎn),但學(xué)者們尚未就二者的相關(guān)關(guān)系得出一致結(jié)論。首先,國(guó)內(nèi)對(duì)特質(zhì)風(fēng)險(xiǎn)和股票收益相關(guān)關(guān)系的研究主要運(yùn)用投資組合分析法定性反映,在研究方法上需要?jiǎng)?chuàng)新。其次,針對(duì)特質(zhì)風(fēng)險(xiǎn)和股票收益相關(guān)關(guān)系影響因素的研究,也存在著理論和實(shí)證方面的不足�；诖�,本文首先采用分位數(shù)回歸分析法刻畫(huà)十個(gè)分位點(diǎn),對(duì)股票特質(zhì)風(fēng)險(xiǎn)與收益的相關(guān)關(guān)系進(jìn)行量化實(shí)證檢驗(yàn);其次,結(jié)合資產(chǎn)定價(jià)與行為金融的理論和實(shí)證結(jié)果,將異質(zhì)信念引入到上述相關(guān)性的研究中來(lái),并使用層次回歸分析方法進(jìn)一步探索異質(zhì)信念對(duì)特質(zhì)風(fēng)險(xiǎn)與股票收益相關(guān)關(guān)系的影響。本文以2006年1月至2014年6月滬市主板A股市場(chǎng)的股票為研究樣本。首先,使用Fama-French三因子模型利用日度數(shù)據(jù)對(duì)每支股票進(jìn)行逐月回歸,以估計(jì)樣本股票的月度特質(zhì)風(fēng)險(xiǎn)。其次,在利用投資組合分析法定性分析特質(zhì)風(fēng)險(xiǎn)和股票收益相關(guān)關(guān)系的基礎(chǔ)上,使用分位數(shù)回歸分析法進(jìn)行量化分析,發(fā)現(xiàn)“特質(zhì)風(fēng)險(xiǎn)之謎”僅存在于收益率較低的樣本股票中。在收益率較高的股票中,特質(zhì)風(fēng)險(xiǎn)和股票收益呈正相關(guān)關(guān)系且隨著股票收益率分位數(shù)的增大特質(zhì)風(fēng)險(xiǎn)和股票收益的正相關(guān)關(guān)系增強(qiáng)。再次,使用Fama-Mac Beth兩步回歸分析法檢驗(yàn)了異質(zhì)信念對(duì)股票收益的影響。最后,通過(guò)層次回歸分析,發(fā)現(xiàn)異質(zhì)信念和特質(zhì)風(fēng)險(xiǎn)對(duì)股票收益的影響存在交互效應(yīng),異質(zhì)信念正向影響特質(zhì)風(fēng)險(xiǎn)與股票收益的相關(guān)性,即股票交易中存在的異質(zhì)信念越大,特質(zhì)風(fēng)險(xiǎn)和股票收益的正相關(guān)關(guān)系越顯著。本文用多種實(shí)證方法檢驗(yàn)特質(zhì)風(fēng)險(xiǎn)和股票收益的相關(guān)關(guān)系及影響因素,在研究方法上具有一定的創(chuàng)新性;將行為金融理論與資產(chǎn)定價(jià)理論結(jié)合在一起,發(fā)現(xiàn)了異質(zhì)信念對(duì)其相關(guān)關(guān)系的解釋作用,具有一定的理論意義。
[Abstract]:The relationship between stock return and investment risk is always the core of financial theory research. In recent years, the research on trait risk and stock return has become a hot topic, but scholars have not reached a consistent conclusion on the relationship between them. Firstly, the domestic research on the relationship between trait risk and stock return is mainly reflected qualitatively by portfolio analysis, and the research method needs innovation. Secondly, there are theoretical and empirical deficiencies in the study of factors influencing the relationship between trait risk and stock return. Based on this, this paper firstly uses the quantile regression analysis method to depict ten loci, and carries on the quantitative empirical test to the stock trait risk and the income correlation; Secondly, combining the theoretical and empirical results of asset pricing and behavioral finance, the heterogeneous beliefs are introduced into the study of the above correlation. The influence of heterogeneous beliefs on the relationship between trait risk and stock returns is further explored by using hierarchical regression analysis. From January 2006 to June 2014, A-share market of Shanghai stock market is taken as the research sample. First, the Fama-French three-factor model is used to estimate the monthly trait risk of the sample stock by using the daily data to regress each stock month by month. Secondly, on the basis of qualitative analysis of the relationship between trait risk and stock return by portfolio analysis, quantile regression analysis is used to analyze the relationship between trait risk and stock return. It is found that trait risk Mystery exists only in sample stocks with lower yield. In the stocks with higher returns, trait risk is positively correlated with stock returns, and the positive correlation between trait risk and stock returns increases with the increase of the quantiles of stock returns. Thirdly, Fama-Mac Beth two-step regression analysis is used to test the influence of heterogeneous beliefs on stock returns. Finally, through hierarchical regression analysis, we find that heterogeneity belief and trait risk have interactive effects on stock returns. Heterogeneity beliefs positively affect the correlation between trait risk and stock returns, that is, the more heterogeneity beliefs exist in stock trading, the more heterogeneous beliefs exist in stock trading. The positive correlation between trait risk and stock return is more significant. This paper uses a variety of empirical methods to test the relationship between trait risk and stock returns and the influencing factors, which is innovative in the research methods. Combining behavioral finance theory with asset pricing theory, the author finds that heterogeneous beliefs explain the correlation between them, which has certain theoretical significance.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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本文編號(hào)：2397100