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论文编号：	6012
作者编号：	2120112350
上传时间：	2013/12/10 16:19:53
中文题目：	公司业绩、股票收益与资产定价
英文题目：	The research of the relationship of the performance of a company and its return of stocks used the theory of three factors model
指导老师：	王永进
中文关键字：	股票收益；资产定价；三因素模型；ROE；公司业绩；
英文关键字：	stock returns; asset pricing; Three Factor Model; ROE;
中文摘要：	资产定价理论是金融学体系中十分重要的主题之一。投资者在进行金融资产交易时，需对资产的价格进行合理的估计，资产定价理论就是专门用于确定如何进行资产尤其是金融资产价格估算的理论。在确定的市场中，资产定价主要是采用无风险的收益率将资产在未来时期内产生的收益进行折现，将未来的收益转换至投资时点的价值，从而确定资产的价格。然而，证券市场却是充满着不确定性，每项资产未来获得收益的多少都是存在风险的。在这种不确定性下，资产的定价会受到投资者对风险喜好程度所影响。股票市场作为一个高风险市场，投资者会寻求一定的风险补偿，从而对股票的收益提出更高的要求。股票的收益究竟是怎样确定的，对这个问题的研究一直是学术界和实务界高度关注的对象。资产定价模型（CAPM）模型认为股票的收益与系统风险有关，套利理论则提出股票的价格应与一系列因素有关，随后的Fama和French在CAPM模型的基础上加上两个新的因素（ME、BE/ME）后发现，许多CAPM模型不能解释的反常现象在添加两个新的因素之后都得到了很好的解释，从而得出账面市值与市净率是股票收益率的影响因素，这两个因子能够解释很大部分股票溢价。Fama等人提出的三因素模型实质上是一个多因素模型，是将APT理论提出的众多因素一般化的结果。具有200余年历史的美国股票市场，法规较为健全、监管较为严密，信息较为透明，股票价格能够自由涨落，政府很少对股市进行干预。高度市场化以及严格的法律约束造就了美国股市关注公司成长性，以巴菲特为首的价值投资者能够通过长期投资获得丰厚回报。我国股票市场起步较晚，发展至今仅仅二十多个年头，相对于美国等成熟股票市场而言，这是只是一个草创阶段。此外，我国股票市场还出现诚信缺失、投机盛行、流通股与非流通股并存以及发展阶段分明等特点，可能会使得我国股票的收益变动规律会与西方国家产生差异。因此，在美国市场上得到的结论不一定能在中国市场上得到验证。在运用多因子定价模型来探究影响股票超额收益因素的研究中，Fama-French三因素模型就是一个典型的例子，该模型已经在西方国家得到广泛的认可，并在现实生活中用在许多定价方面。本文的目的在于以多因子定价理论为支撑，仿照Fama和French在提出三因素模型时所做的检验过程，来试图探索在我国股票市场上公司业绩是否会对股票未来的收益产生影响。本文首先对Fama-French三因素模型在我国股票市场进行检验。检验结果发现，我国股票市场如同美国市场，存在着规模溢价的现象，但账面市值比溢价的现象与之相比不是很明显。除账面市值比最大组合出现异常外，其他组合中的股票平均收益基本上随着账面市值比增高而增加。因此，虽然账面市值比溢价现象不是特别明显，但是可以从一定程度上说，三因素模型在我国股票市场上的结果是正面的。 ROE指标具有重要的参考价值，市场中一部分投资者会根据股票所代表公司的净资产收益率高低而选择是否对其进行投资。证券监管部门也会用这个指标来对证券市场进行监管，当出现净资产收益率达不到相应标准时，监管部门就会按规定对公司采取措施。因此，本文基于多因子定价的思想，仿照Fama等人检验账面市值比因素和规模因素的方法，在三因素模型的基础上添加ROE因子，通过实证检验我国股票市场是否存在着ROE因子溢价的现象。在仿照三因素模型检验方法对添加ROE因子的新模型进行检验后发现，在我国股票市场（1995-2012年）中，净资产收益率高的公司与较低的公司相比，前者确实能够获得更高的股票平均回报。而在我国，净资产收益率又是衡量公司业绩的主要指标，因此，本文得出以下结论：我国股票市场1995-2012年的数据实证结果表明，CAPM模型和因素模型很大程度上不能解释有ROE差异引起的反常现象（ROE高的股票组合平均收益大于ROE低的组合）。在加入ROE因子后，将三因素模型修正为一个四因素模型，该模型的检验结果显示我国股票市场回报除受系统风险、规模风险影响外，ROE因子也能够解释一部分股票溢价。并且在加入ROE因子后，账面市值比因子系数达到显著水平的t值减少了很大的比例，说明ROE因子包含了一部分账面市值比溢价，从而使得账面市值比因子的解释力弱化。也就是说，我国股票投资者在投资时是会关注股票所代表公司的业绩水平，人们会根据股票所代表公司的业绩来预测股票未来的回报，而不是一味的盲目投资。在一定程度上，绩优股（ROE高）与绩劣股（ROE低）倾向于获得更高的报酬。
英文摘要：	Asset pricing theory is a very important topic in the finance system. Conducting transactions in financial assets, investors need to find the reasonable pricing, and asset pricing theory is specifically designed to determine how do the assets, especially financial assets deserve. In certain market, asset pricing is mainly used risk-free rate to discount the income in the future. However, the stock market is full of uncertainty. Under such uncertainty, how much do the assets gain is uncertain. In this uncertainty, the assets will be priced by investors affected by the degree of risk preferences. The stock market is a high-risk market, and its investors will seek compensation for certain risks, and thus want to get more returns. How to determine the return of stocks? The issue has taken academics and practitioners’ attentions all the time. Asset Pricing Model Model(CAPM) assumes that stock returns and systemic risk related to arbitrage theory is proposed price of the stock should be a range of factors related to the subsequent Fama and French on the basis of the CAPM model with two new factors (ME , BE / ME) found that many of the CAPM cannot explain the anomaly in after adding two new factors have been well explained to arrive at the market value and book value is the book stock returns influencing factors, which two factors can explain much of the stock premium. Fama, who proposed three-factor model is essentially a multi-factor model is proposed by many factors APT theoretical generalization results. With 200 years of history of the U.S. stock market, regulation is more perfect, more stringent regulation, more transparent information, the stock price fluctuation freely with little government intervention in the stock market. Highly market-oriented and created a strict legal constraints concern the U.S. stock market the company's growth in the value of Buffett led investors to get good returns through long-term investments. China's stock market started lately, the development has just over twenty years, relative to the United States and other mature stock markets, this is just an embryonic stage. In addition, China's stock market also appeared lack credibility, the prevalence of speculation, tradable and non-tradable shares exist and distinct stages of development, etc., may make changes in the law of equity earnings to differ with the Western countries. Thus, in the U.S. market to the conclusion does not necessarily been verified in the Chinese market, therefore, this paper first Fama-French three-factor model tested in China's stock market. Test results found that China's stock market as the U.S. market, there is a premium scale of the phenomenon, but the book than the premium market phenomenon is not very obvious. ROE indicator has important reference value, some investors will be based on the market share represented by the company's net assets yield level and the choice of whether to invest in them. Securities regulatory authorities will use this indicator to regulate the securities market, when there is less than the corresponding rate of return on net assets standards, regulatory authorities will take measures according to the provisions of the company. Therefore, this paper based on the idea of multi-factor pricing, modeled Fama et al inspection book market factors and the scale factor than the method based on the three-factor model to add ROE factor, through empirical testing the existence of China's stock market phenomenon premium ROE factor . In the modeled three-factor model test method ROE factor for adding new models were tested and found in the Chinese Stock Market (1995-2012 years), the net assets of the company with a lower rate compared to the company, the former can really get higher average stock returns. In China, the ROE is an important indicator to measure performance of the company, therefore, we draw what conclusions: China's stock investors will focus on the investment represented by the company's stock performance levels, rather than blind investment, to a certain extent, blue chip stocks (ROE high) shares with inferior performance (ROE low) tend to get higher returns.
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