股票收益率的组成分析及其经济解释

上海交通大学硕士学位论文股票收益率的组成分析及其经济解释姓名：周苗苗申请学位级别：硕士专业：金融工程指导教师：吴冲锋20050101IIIIIICOMPONENTANALYSISOFSTOCKRETURNANDITSECONOMICEXPLANATIONABSTRACTStockpricingtheoriesarethekernelofcapitalmarkettheories.Reasonablepricingofstockhasgreattheoreticalandpracticalsignificanceforbothmacro-economyandmicro-individuals.Thisdissertationcarriesonthecomponentanalysisofstockreturnunderdifferentpricingtheories,followingtheclueofthedevelopmentofstockpricingtheories.Itoffersasameperspectivetocomparevariouspricingtheoriesandwillbehelpfultodrilldowndeeplyintotheimplicatedeconomicexplanation.Basedonthedeepunderstandingofexitingpricingtheories,newthoughtsalsocanbebroughtintothecomponentanalysis,whichwillbehelpfultomorereasonablepricingofstock.Firstly,thedissertationsummarizessomekeypricingtheories.Accordingtopricingmechanism,allthosetheoriescanbeclassifiedintotwotypes:intrinsicvaluebasedandmarketequilibriumbasedpricingtheories.TwomosttypicalmarketequilibriumbasedtheoriesCapitalAssetIVPricingModel(CAPM)andConsumption-basedAssetPricingModel(CCAPM)areselectedtoconductthecomponentanalysisandempiricalresultanalysisinthisdissertation.Abnormalphenomenainbothmodels,whichcan’tbesolvedbasedonthemodelsthemselves,werefoundintheirempiricalstudies.ThedissertationalsoconductsanempiricalstudyonCCAPMinChina’sstockmarket.Theestimatedrelativeriskaversioncoefficientturnsouttobenegativewithlargeabsolutevalue,whichdoesn’tagreewithitstheoreticalassumption.Comparingtoexitingexplanation,thedissertationproposesanotheroneforthisissue:inanemergingmarket,suchasChina,therelationshipbetweenconsumptionandinvestmentisquiteweak,thefinancialconstrainevencausesanegativecorrelationbetweenthem,andtheavailabledataislimitedtoashorthistory.ThuswecanconcludethatCCAPMisnotapplicabletocurrentChina’sstockmarket.Afterthedeepresearchintobothtwotypesofpricingtheories,thedissertationconductsthecomponentanalysisfromanewperspectiveintegratingbothfirm’sintrinsicvalueandmarkettradingvalue.Thisanalysisdescribesthevalueaddedprocessfromaphysicalassettoacapitalassetfromtwoaspects:financialinnovationchainandvaluechain.Italsotheoreticallydecomposedthestockreturnintooperatingriskcompensation,financialriskcompensationandmarket-tradingreturn.Atheoreticalcomparisonofdifferentcomponentanalysisunderthosethreemethodsisalsoconducted.VFinally,thedissertationcarriesonanempiricalstudyonthisnewmodel,andcomparestraditionalequityriskpremiumwithmarket-tradingreturnempirically.Theresultshowsthatthemarket-tradingreturnismuchlowerthanequitypremium,whichissupportivetopriortheoreticalanalysis.Theprimaryinnovationsofthedissertationaresummarizedinthefollowing:(1)ThedissertationconductsthecomponentanalysisofCAPMandCCAPMandoffersitseconomicexplanation.(2)Differentfrommostdomesticempiricalstudy,thedissertationconsidersinflationadjustmentandexcludesdurableconsumptiontomaketheresultmorecomparableandreliable.Asfortheestimatednegativerelativeriskaversioncoefficient,thedissertationprovidesadifferentexplanationfromexistingones.(3)Thisdissertationproposesanewperspectivetoanalyzethecomponentsofstockreturnbasedonintegratingbothfirmandcapitalmarket,andtheoreticallyprovesitbyfinancialinnovationchainandvaluechainanalysis.KEYWORDS:stockpricing,capitalmarket,CapitalAssetPricingModel,Consumption-basedCapitalAssetPricingModel200511511232CapitalAssetPricingModel,CAPMConsumption-basedCapitalAssetPricingModel,CCAPMCAPMCCAPMCAPMCCAPMCAPMCCAPM[1]CAPMCCAPM3CAPMCAPMCAPMCCAPMCapitalAssetPricingModelIntegratingbothFirmandMarket,CAPMIFMCAPMCCAPM4100100[3]1986FisherGrahamandDodd(1934)[4][6]51VtDrnnPn1(1)(1)ntntntDPVrr==+++∑2-1n→∞1(1)tttDVr∞==+∑2-2tDr2FreeCashFlowtoEquity,FCFE1(1)(1)ntntntFCFEPVWACCWACC==+++∑2-3tFCFEtFCFEEPSDEPDIIEPSDEPDIIWACC16////EconomicValue-Added,EVAEVAEVA(WACC)EVA+Arrow[7]Markowitz(1952)[8]EVSharpe(1964)[9]Linter7(1965)[10]CAPMCAPMMerton(1971,1973)[12]IntertemporalCAPM,ICAPMCAPMLucas(1978)[13]Breeden(1979)[14]CAPMICAPMCCAPMArrow(19511964)[7]Arrow[7]SjpjjjxjpjArrow1njjjppx==∑2-411()nnjjjjjjjjjppxmxEMXppp=====∑∑2-51(,......,)nMmm=Mmm8m2-5[15]CAPMICAPMCCAPMMarkowitz(1953)[8]EV[15]1,...1()nniixxiMaxEERxu=⎧⎫==⎨⎬⎩⎭∑,s.t.11nnijijijVxxVs====∑∑2-6iuijsixEV2-1ABMfrMfrMHfrMHMF9DEVCAPMSharpe(1964)[9]Linter(1965)[10]CAPM()(())ifmfErrErrb=+-2-7Fig.2-1DeterminationoftheInvestmentProcess0isirfrHFABMD10mr1frvar()mrcov(,)imrrcov(,)var()immrrrb=bCAPMCAPMCAPM2070CAPMCAPMCAPM[15]CAPMICAPMCAPMCAPMMerton(1973)[12]IntertemporalCapitalAssetPricingModel,ICAPMCAPMCAPM[16]CAPMCAPMCAPM1iiRir1iiRr=+fRfr11CCAPMCAPMICAPMLucas(1978)[13]Breeden(1979)[14]CCAPMCCAPM'111'()[()]()ttttttUcPEPyUcb+++=+2-80(.)Ebsubjectivetimediscountfactor()tUCtctyCCAPM21[lnln]cov(ln,ln)2ifiiERRxRsg-=-+2-9ln()ln()cov(ln,ln)ifiERERxRg-=2-10ln()ln()[ln()ln()]ifMfERERERERb-=-2-111211,1ttittPyRP++++=ifR11tttcxc++=cg2:lniiRscov(ln,ln)(ln)ixRVarxb=MR2-92-112-92-102-11CAPMCCAPMTheEquityPremiumPuzzleMehraandPrescott(1985)[17]13CCAPMMehraandPrescott(1985)[17]FriendandBlume(1975)[18]KydlandandPrescott1982[19]010g01bfR()iER()Ex()xs()ifERR-MehraandPrescott(1985)[17]MehraandPrescott(1985)[17]