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1.
新三板市场是我国新兴的场外交易市场,为中小企业提供融资渠道,是我国资本市场的重要组成部分。研究了该市场流动性风险特征,利用CAPM模型和加入非补偿因子的LACAPM模型,运用OLS和GMM对模型进行估计和检验。结果显示,新三板市场存在流动性风险溢价,且相比CAPM模型,改进的LACAPM模型更能有效地解释该现象。  相似文献   

2.
基于我国中小板和创业板市场的股票日交易数据,通过CAPM模型检验,发现在两个市场上存在市场风险溢价以外的市场异象,但是在加入流动性因子的LCAPM模型中无法有效地测度两个市场上的流动性风险补偿溢价。因此,构造了A-LCAPM模型,检验结果表明该模型能够对两个市场的异象做出解释,我国中小板市场股票存在较显著的流动性溢价效应,但是在创业板市场中不能被证实流动性溢价效应的存在。  相似文献   

3.
文章以1997年1月~2017年12月的沪深A股为研究对象,从流动性风险角度检验价值溢价的风险来源,对价值股和成长股的流动性风险与收益进行对比研究,分析中国股票市场中流动性因子对价值因子的解释能力。研究发现:价值股的市场流动性风险大于成长股,价值溢价的成因是价值股承担了更高的市场流动性风险,从风险补偿角度解释了价值溢价;同时发现在中国股票市场中投资因子与盈利因子并不能解释价值因子,而流动性因子可以解释。  相似文献   

4.
共同因子是刻画风险溢价的重要基础,将共同因子模型应用于公司债券市场有助于合理估计信用风险溢价。本文利用机器学习算法探究债券信用溢价因子的存在性以及结构变化后发现:规模、下行风险、价值、波动率以及流动性等五个公司债券共同因子对单个债券信用溢价有较好的解释能力,动量因子对信用溢价的解释能力较差,流动性因子具有较强的逆周期防御性功能。债券市场以及公司债券信用溢价因子在2015年前后存在明显的结构变化,利用稀疏学习和集成学习可以有效分析因子结构变化,建立风险预警。此外,在公司债券市场的市场制度和环境改变过程中,可以利用机器学习算法识别其对市场的影响,防范化解潜在的系统性风险。  相似文献   

5.
中国股票市场风险溢价研究   总被引:6,自引:0,他引:6  
本文通过综合资产定价理论和实证文献研究结论,对1997年到2009年中国股市A股股票的风险溢价的截面差异作了详尽的实证研究。我们构造25个投资组合作为检验资产,进行Fama-MacBeth两步回归法,建立了基于市场风险溢价,账面市值比,盈利股价比,现金流股价比,投资资本比,工业增加值变化率以及回购利率和期限利差的八因素模型。我们的主要发现有以下三点:一是相对于Fama-French三因素模型,我们模型的实证解释力有显著提高;二是与过去的文献不同,我们发现回购利率和期限利差等债市指标对股市风险溢价的截面数据有显著解释能力;三是与基于投资的资产定价理论一致,我们发现投资比率和现金流股价比能显著反映我国股市的风险溢价。  相似文献   

6.
在传统资产定价模型中依次引入换手率、成交金额、Amihud非流动性比率三种流动性度量指标,构造出改进后的Fama三因子模型,通过Fama-Macbeth两阶段回归的方法来探讨我国A股市场流动性溢价效应以及三种流动性度量指标的不同表现;然后,采用分位数回归的方法进一步检验三种流动性指标各自的适用范围。研究表明:中国A股市场存在较为显著的流动性风险溢价现象;不同的流动性指标与股票收益率之间的关系不同,换手率适合在低收益率情况下流动性的测度,Amihud非流动性比率更适合在中高收益率情况下流动性的测度,而成交金额指标未能通过检验,表现相对较差。  相似文献   

7.
以1997年1月至2020年6月我国上市公司的交易数据和财务数据为样本,基于Fama-French五因子模型分析框架,检验我国股票市场盈利溢价的存在性、产生机制及其定价能力.研究发现,盈利稳健的企业相对于盈利疲弱企业存在明显溢价,且这一盈利溢价不能被市场因子、规模因子、价值因子和投资因子很好解释.机制分析发现,盈利溢价效应在投资摩擦低的公司中更显著,盈利溢价的产生机制符合投资Q理论.包括市场因子、规模因子和盈利因子的三因子模型在我国股票市场具有最好的解释能力,说明A股市场具备对盈利能力做出合理价值判断的能力.  相似文献   

8.
对流动性的定价是金融经济学研究的重点之一.在国内外已有研究的基础上,通过建立实证模型,检验沪市是否支持“非流动性补偿”假设以及流动性风险是否得到显著定价.结果证明,流动性β值为负的股票预期会产生高收益,沪市支持“非流动性溢价”假设,流动性风险得到显著定价.同时,市场风险溢价也在沪市得到显著体现,市场风险β值对股票收益具有一定的解释能力.  相似文献   

9.
基于中国股市的动量策略和反转策略盈利性研究   总被引:1,自引:0,他引:1  
本文测试了中国股票市场中A股的反转策略和动量策略的盈利性,实证结果证明了短期内的动量收益,而反转收益存在于中长期和长期。在对两类收益的原因探析中,本文证明反转收益部分归因于规模效应。Beta因素对两类收益都没有解释力。本文同时还测试了Fama-French三因素模型,发现包含市场风险、规模差异和账面市场价值比在内的三类公共因素均不能有效解释反转收益和动量收益。  相似文献   

10.
陈小悦和孙力强(2007)在价值无差异的基础上建立了一套全新的定价模型,本文采用股票市场的数据对该模型进行了实证检验,模型检验的同时也是对股权溢价之谜进行解释。研究结果表明,本文的定价模型在美国、中国内地和中国香港三个市场的检验都取得了良好的效果,即市场风险溢价均值都向模型的理论值收敛,实际风险溢价与理论值差异很小且不显著,采用该模型可以准确地描述股票市场组合收益率与风险的关系,并对股权溢价之谜做出合理的解释。  相似文献   

11.
Using a new measure of liquidity, this paper documents a significant liquidity premium robust to the CAPM and the Fama–French three-factor model and shows that liquidity is an important source of priced risk. A two-factor (market and liquidity) model well explains the cross-section of stock returns, describing the liquidity premium, subsuming documented anomalies associated with size, long-term contrarian investment, and fundamental (cashflow, earnings, and dividend) to price ratios. In particular, the two-factor model accounts for the book-to-market effect, which the Fama–French three-factor model fails to explain.  相似文献   

12.
We examine whether the use of the three‐moment capital asset pricing model can account for liquidity risk. We also make a comparative analysis of a four‐factor model based on Fama–French and Pástor–Stambaugh factors versus a model based solely on stock characteristics. Our findings suggest that neither of the models captures the liquidity premium nor do stock characteristics serve as proxies for liquidity. We also find that sensitivities of stock return to fluctuations in market liquidity do not subsume the effect of characteristic liquidity. Furthermore, our empirical findings are robust to differences in market microstructure or trading protocols between NYSE/AMEX and NASDAQ.  相似文献   

13.
We capture two distinct investing preferences – hedging against aggregate liquidity risk or betting on it – in the cross-section of stock returns. A three-factor model underpinned by exposures to changes in market liquidity, isolating two alternating patterns, is developed. Our results can be summarized in the following ways: one, the improved performance of recent asset-pricing models is driven by factors that mimic liquidity risk hedging and are linked to cross-sectional mispricing. Two, our model outperforms competing models in explaining time-series return variation across market states. Three, our parsimonious model enables an understanding of diverging return premia in the cross-section. Four, the estimated risk premiums in our model correspond to theoretical, economic, and statistical restrictions holistically across varied and complex anomaly structures. In this respect, the performance of the proposed model is even better than the risk premiums on factors in the model that have the largest cross-sectional r-squared values.  相似文献   

14.
We develop a conditional version of the consumption capital asset pricing model (CCAPM) using the conditioning variable from the cointegrating relation among macroeconomic variables (dividend yield, term spread, default spread, and short-term interest rate). Our conditioning variable has a strong power to predict market excess returns in the presence of competing predictive variables. In addition, our conditional CCAPM performs approximately as well as Fama and French’s (1993) three-factor model in explaining the cross-section of the Fama and French 25 size and book-to-market sorted portfolios. Our specification shows that value stocks are riskier than growth stocks in bad times, supporting the risk-based story.  相似文献   

15.
We propose a measure for extreme downside risk (EDR) to investigate whether bearing such a risk is rewarded by higher expected stock returns. By constructing an EDR proxy with the left tail index in the classical generalized extreme value distribution, we document a significantly positive EDR premium in cross-section of stock returns even after controlling for market, size, value, momentum, and liquidity effects. The EDR premium is more prominent among glamor stocks and when high market returns are expected. High-EDR stocks are generally characterized by high idiosyncratic risk, large downside beta, lower coskewness and cokurtosis, and high bankruptcy risk. The EDR premium persists after these characteristics are controlled for. Although Value at Risk (VaR) plays a significant role in explaining the EDR premium, it cannot completely subsume the EDR effect.  相似文献   

16.
Fama and French's (1992) assertion that investors receive premium payments for risk associated with the book value to market price (BE/ME) and size and not for holding beta risk has sparked a lively debate concerning risk factors that are priced in the market. Howton and Peterson (1998) use a dual-beta model to test the Fama and French conclusions. They conclude that the significant relationship between beta and returns depends on the use of the dual-beta model. This work, however, ignores the results reported by Pettengill, Sundaram, and Mathur (PSM, 1995). PSM find a significant relation between a constant risk beta and returns when data are segmented between up and down markets, but do not consider the impact of size and BE/ME. In this paper we show that the PSM (1995) market segmentation procedure alone provides a sufficient condition to identify a significant relation between beta and returns in the presence of size and BE/ME. Dual market betas may be relevant in explaining risk and return. However, the market segmentation procedure of PSM (1995) is the critical condition for finding a significant relationship between returns and betas.  相似文献   

17.
In this study, the three-factor model of Fama and French and the ‘characteristic model’ of Daniel and Titman are tested using the French Stock Market. Stocks are ranked by size and book to market ratio and then by ex-ante β, HML or SMB loadings. Based on average returns, results reject the factor model with ‘characteristic balanced’ portfolios. In contrast, in time-series regressions, results are consistent with the factor pricing model and inconsistent with the characteristic-based pricing model. Because the value premium is small, conclusions must be interpreted carefully. However, size and market premiums allow more powerful tests of the two models.  相似文献   

18.
《Pacific》2007,15(4):315-328
This paper examines SMB (small minus big), the mimicking portfolio in Fama and French's [Fama, E., French, K., 1993. Common risk factors in the returns on stocks and bonds, Journal of Financial Economics 33, 3–56] three-factor asset pricing model. We do not examine whether SMB is a factor in explaining the cross-section of returns. This paper's focus is why S is greater than B. After controlling for market-pervasive effects, we argue that the small-firm premium is driven by both investors' emotional arousal (proxied by the turnover ratio) and their disproportionate reactions to arousing stimuli.  相似文献   

19.
Prior research has identified the existence of several cross‐sectional patterns in equity returns, commonly referred to as effects. This paper tests for the existence of a number of well‐known effects using data from the Australian equities market. Specifically, we investigate the size effect, book‐to‐market effect, earnings‐to‐price effect, cashflow‐to‐price effect, leverage effect and the liquidity effect. An additional aim of this paper is to investigate the capability of the Fama–French model in explaining any observed effects. We document a size, book‐to‐market, earnings‐to‐price and cashflow‐to‐price effect but fail to find evidence of a leverage or liquidity effect. Although our findings indicate that the Fama–French model can partially explain some of the observed effects, we conclude that its performance is less than satisfactory in Australia.  相似文献   

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