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实际偏度与股票未来横截面收益率的实证关系分析-基于中国A股市场
作者:陈静 日期:2018/10/8 10:38:36 点击:

内容摘要

Merton第一个指出,随着数据取样频率的增加,波动率可以被精确地测量出来。 这个发现随后被应用于研究实际波动率的文献中,测量随时间变化的波动率,这些文献 构造了从日内收益的平方中计算出来的实际波动率。我们通过日内收益的三次方来计算 实际偏度,来延伸现有的实际波动率的概念。本文证明实际偏度的计算在有限的样本中 是可靠的,而且对于存在市场微观结构噪声以及加入其他变量因子的情况下,结果依然 稳健。

本文借鉴了 Amaya(2015)的分析框架,以2015年股灾前后为观测区间,其中包括股 指期货、期权、熔断机制、融资融券等政策的推行,以探究特殊历史时期对实际偏度与 横截面收益的关系是否产生影响。本文的数据样本采用2010年1月1 2017年12月31 日交易时间段内的所有沪深股市A股市场的每日5分钟高频交易数据,随后用5分钟数 据来聚合计算周度的实际偏度,并研究实际高阶矩的时间序列和横截面序列的特性。通 过买入低偏度的股票,同时卖出高偏度的股票,来计算投资策略实现的平均回报率,并 检验t统计量是否显著。文章的最后部分,我们借鉴FM横截面回归法对实证结果进行 检验,进一步探讨实际偏度在预测股票未来横截面收益的能力。

本文首先进行了实际偏度的描述性统计分析,发现中国股票市场在观测期内存在一 定程度的偏斜,这说明我国股市存在肥尾现象。接下来对实际偏度中所包含的信息以及 实际偏度在预测股票未来横截面收益方面的能力进行了分析和检验。本文检测了从日内 收益计算得出的实际偏度和未来股票收益之间的关系,我们用日内交易数据来计算周度 的股票收益率的实际偏度,研究实际偏度的特性,再进一步研究其与未来收益的相关关 系。根据本周的实际偏度把股票分成10组,按照实际偏度从小到大顺序排序分组,然 后计算持有期为一周的投资组合在下一周的收益率大小,分析下一周投资组合的收益率 与实际偏度的关系,研究发现实际偏度与未来股票收益率存在明显的负相关关系,随着 实际偏度的不断增大,股票横截面收益逐渐减小,并且这种关系不随特殊历史时期变化 而变化。这说明实际偏度因子确实是影响资产定价的重要因素之一,而且实际偏度所带 来的超额收益率的部分并没有被波动率、市值、市场P系数等其他变量解释。

最后,我们用FM横截面回归法证明,实际偏度和股票未来收益率是负向关系。通 过控制若干影响回报的决定因素:三因子模型中的公司的规模,JegadeeSh(1990), Lehmann (1990),和 Gutierrez and Kelley (2008)的市场 0 系数、换手率、市盈率, 我们研宄了这些结果的稳健性。发现在在控制上述因素后,实际偏度在解释收益率横截 面方面仍然具有重要作用。

关键词:金融学毕业论文,资产定价,实际偏度,收益率

ABSTRACT

Merton first points out that as the frequency of data sampling increases, the volatility can be measured accurately. This discovery was subsequently applied to the literature studying the actual volatility, measuring the fluctuating rate over time. These documents constructed the actual volatility calculated from the square of daily returns. We calculate the actual skewness through the three - time intra - day returns to extend the concept of the existing actual volatility. It is proved that the computation of actual skewness is reliable in finite samples, and the results are robust for the existence of market microstructure noise and other variables.

We use Amaya (2015) analysis framework, with the stock market crash of 2015 before and after the observation interval, including stock index futures, options, circuit breakers, the margin and the implementation of policies, in order to explore the relationship between the special historical period of the actual skewness and cross-section income effects. In this paper, the sample data by January 2010 December 31, 12017 trading period all the Shanghai and Shenzhen stock market A stock market daily five minute high-frequency data, followed by five minutes of data to calculate the actual polymerization degree and skewness week, characteristics of time series and cross section of the actual sequence of higher order moments. By buying stocks with low bias and selling high skewness, the average return rate of the investment strategy is calculated and the T statistics are tested. In the last part of the paper, we use FM cross section regression method to test the empirical results, and further explore the ability of actual skewness in predicting future cross section earnings of stocks.

In this paper, we first made a descriptive statistical analysis of the actual skewness, and found that the Chinese stock market was skewed to some extent during the observation period, which indicates that there is a fat tail phenomenon in China?s stock market. Then the information contained in the actual skewness and the ability of the actual skewness to predict the future cross section income of the stock are analyzed and tested. This paper examined the actual skewness calculated from intraday returns and future stock returns between, we use intraday data to calculate the weekly stock returns the actual characteristics of the actual skewness, skewness, and further study its relationship with the future income. The shares are divided into 10 groups according to the actual skewness this week, according to the actual order from small to large skewness grouping, and then calculate the holding period is one week portfolio in next week?s return, analysis of the relationship between the return rate of portfolio investment next week with the actual skewness, the study found the actual skewness and future stock returns there is an obvious negative correlation, with the increasing of the actual skewness, cross-section of stock returns decreases gradually, and the relationship with the special historical period of change. We can according to the conclusion to construct spatial arbitrage portfolio, investors can buy low real skewness stock portfolio, selling the actual high skewness portfolio, this strategy can help investors 0.102% of the revenue in the next week, and the T value is very significant. This indicates that the actual skewness factor is indeed one of the most important factors that affect asset pricing, and the excess rate of return caused by real skewness is not explained by other variables such as volatility, market value and market beta coefficient.

Finally, we use the FM cross section regression method to prove that the actual skewness and the stock future yield are negative. By controlling the determinants of returns, the scale of the three factor model, the Jegadeesh (1990), Lehmann (1990), and Gutierrez and Kelley (2008) market beta coefficients, turnover rates and P / E ratios, we studied the robustness of these results. It is found that after controlling the above factors, the actual skewness still plays an important role in explaining the cross section of the yield.

Key words: asset pricing; skew; returns

目录

第一章绪论

1.1研究背景 1

1.2研究意义 2

1. 3研究思路 3

1.4创新点和不足 4

第二章文献综述 5

2. 1国外文献综述 5

2.2国内研究综述 8

2.3国内外文献综评 10

第三章实际偏度和股票未来收益率的理论基础 12

3. 1偏度的含义 12

2偏度和收益率相关的理论基础 12

3. 2. 1传统资产组合理论 12

3. 2. 2有效市场假说 13

3. 2. 3行为金融理论 14

3.3偏度的计算方法 16

3. 3. 1从期权中提取隐含的偏度 16

3.3.2从历史数据中估计高阶矩 17

第四章实际偏度和股票横截面收益的分析 18

1数据来源 18

4.2计算实际偏度 18

4. 3实际偏度的描述性统计分析 20

4. 4基于实际偏度排序构造投资组合 22

4.5投资组合的排序特征 23

4. 6实际偏度和股票未来横截面收益率的关系分析 23

4. 7 FM回归分析 27

4. 8本章小结 31

第五章总结与建议 32

参考文献 34


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