证券投资收益和风险的期限结构研究

Research on Term Structure of Return and Risk of Securities

随着社会经济的发展和技术的进步,证券投资领域的理论日趋完善。在随机漫步理论、自回归理论和资本资产定价理论的基础上,对全球主要股票指数收益和风险展开量化研究,并提出证券投资收益和风险的期限结构模型。研究发现,随机漫步理论在较短的投资期限内近似成立,但在长期内证券指数有上升趋势,自回归理论较好地刻画了指数的长期特征。持有期限越长,收益率的期望值和标准差之比就越大,越有可能获得稳定的收益,证券指数收益率的标准差会随着持有期限增加先上升后下降,收益率的期望值经年化后,也表现出随持有期限的增加先上升后下降的特征,收益率最终会趋近一个由证券指数的内在上升趋势决定的稳定值。

With the development of economy and the progress of technology, securities investment theories are becoming more and more perfect.This study is based on the random walk ：theory, auto-regression theory and capital asset pricing model, carried out quantitative research on the world＇s major stock indexes＇ return and risk, and proposed the term structure model of securities＇ risk and return.It is found that the random walk theory is right in a short period, but in the long term stock indexes have an upward trend.The longer the period, the ratio of expected rate of return and its standard deviation is greater, the more likely to get a stable return.With the period increased, the standard deviation of rate of return will first increase then drop, annual rate of return also showed first rise after decline, eventually approach a stable value which is depend on the intrinsic upward trend of stock index.