股票市场MAX效应及其选股策略的研究.pdf

摘 要 随着资本市场的不断发展，在资产定价理论研究领域中涌现出了大量的研究 成果。传统的 CAPM 模型由于过多的假设使得其在真实世界很难成立，继而出 现了假设条件要更少一些的APT 模型，但APT 模型并没有指出哪些因素会影响 资产的定价。寻找对股票收益影响显著的因子成为资产定价领域的研究重点，其 中最具代表性的模型是Fama-French 三因子和五因子模型。 MAX 因子是对投资者博彩需求的衡量，具体定义为上一个月所有交易日中 日收益率的最大值。本文同时也对最大的连续前 n （2~5 ）个日收益率的均值 MAX(n)进行了研究，最终发现 MAX 因子与下一期股票收益率呈现显著的负相 关，这与其他国家股票市场的MAX 效应一致，学术界对这种“异象”进行了多 角度的研究，主要包括彩票理论，累计前景理论和投资者情绪理论等。 本文进一步对A 股市场MAX 效应的存在性进行了研究，首先对股票收益率 按照MAX 因子进行单变量分组，无论是按市值加权还是等权重分组，MAX 因 子高的组的收益率显著低于MAX 因子低的组的收益率。本文将构建的投资组合 与Fama-French 五因子进行回归。从回归结果来看，五因子α 是比较显著的，可 以认为MAX 效应在A 股市场是存在的。 最后，本文还进一步研究了A 股市场MAX 效应的原因，结果发现异质偏度、 流动性和投资者情绪三个因子影响了MAX 效应的大小。基于MAX 效应和它的 影响因素，本文还构建了多因子选股模型，回测结果表明选股模型有效。 关键词：MAX 效应；投资者情绪；多因子选股模型 I Abstract With the continuous development of capital market, a large number of research results have emerged in the field of asset pricing theory research. The traditional CAPM model makes it difficult to establish in the real world because of too many assumptions, and then there are APT models with fewer assumptions, but the APT model does not indicate what factors affect asset pricing.Finding factors that have a significant impact on stock earnings has become the focus of research in the field of asset pricing, the most representative models are Fama-French three-factor and five-factor model. The MAX factor is a measure of investor stakes, defined as the maximum yield of the day in all trading days of the previous month. This paper found that the MAX factor is significantly negatively correlated with the next issue of stock yield, which is consistent with the MAX effect of other stock markets. A multi-angle study has been carried out, including lottery theory, cumulative p