摘要
鉴于传统方差在金融风险计量中存在的缺陷,本文采用半方差作为风险衡量的重要标准,以账面市值比指标来构建我国A股市场价值股投资组合与成长股投资组合,运用描述性统计、时间序列回归及面板数据模型对价值溢价现象在我国A股市场的存在性及其原因进行实证研究。研究表明:运用半方差方法改进风险衡量标准后的CAPM模型对不同投资组合收益率有更好的解释,价值溢价现象在一定程度上是由于模型设定造成的。
Because of the fault in calculating the financial risk with traditional method, the author uses descriptive statistics, time series regression and panel model to examine the existence and interpretation of value premium in China＇s A-share market. Base on book-to-market ratio, the paper constructs value portfolio and growth portfolio. The results show that under new risk measurement CAPM can give better explanation to the difference in returns between portfolios. The finding also indicates that value premium in A-share market is partly due to model specification.
出处
《南方金融》
北大核心
2014年第3期57-62,共6页
South China Finance
关键词
股票市场
价值溢价
账面市值比
半方差
Stock Market
Value Premium
Book-to-Market Ratio
Semi-Variance
