基于下方风险的资产定价模型3a来自中国股市的证据

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1、AbstractInCAPM，riskismeasuredbythevarianceofreturns，indicatingtheuncertaintyoffutureyields．Thereareotherdefinitionsforrisk’includingdownsideriskwhichisgainingrecognitionduetotheemergenceofBehavioralFinance．Intheframeworkofdownsiderisk,riskisdefinedasloss．Assetpricingmodelbasedondownsid

2、eriskmeasurementshastheadvantageofeconomicintuitionandcanbetterguideinvestors’riskmanagementandinvestmentdecisions．Thisthesisaimstofindout：compared研mtraditionalCAPM，whetherassetpricingmodelbasedondownsideriskmeasurementscanbetterexplainChinesestockmarket；thekindofinvestors’sentimentsin

3、dicatedindifferentresultsofassetpricingmodelsindifferentstockmarketcycles．ThethesistriestoexaminethepricingabilityofassetpricingmodelsbasedondownsideriskmeasurementsbystudyingtheAsharemarketinChinafromMarch1997toDecember2010，basedontheapproachusedbyFamaandMacBeth(1973)．Theresultshowsth

4、atassetpricingmodelsbasedondownsideriskmeasurementsaresignificantlybetterthantraditionalCAPM．Aftercontrollingforfactorssuchasscale，theauthorfindsthatdowusideriskmeasurementscallstillexplainassetyieldsbetter．Empiricalstudyondifferentstockmarketcycleshowsthatthetwokindsofpricingmodelsbot

5、hworkwellinbearmarkets．Thisresultisrobusttowhetherweuseindividualstocksorportfoliosastestassets，andisalsorobustwhenweallowfortimevariationinthefactorloadingsoftheassets，eveninadifferentregressmethodthetestresultalsoshowsthatthereisdownsideriskexposureinthemarkets．Toconclude，itismoresui

6、tabletousedownsideriskmeasurementstomeasurethesystemicriskofassetsratherthanthetraditionalboa．Keywords：Downsiderisk；AssetPricingModels；BetaⅡContentsChapter1Introduction。·················································1．1Backgroundandmotivation1．2Frameworkofthisthesisandmainconclusions

7、1．3InnovationsandlimitationsChapter2Literaturereview。···································1232．1CAPManditsdevelopment⋯⋯··⋯⋯⋯⋯⋯··⋯⋯⋯⋯·····”O．0000000·00”"---""----------．'---52．2Pricingmodelbasedondownsideriskmeasurement82．2．1Downsideriskmeasurements·⋯·⋯⋯·⋯⋯⋯·⋯⋯⋯·⋯⋯⋯⋯·⋯⋯⋯⋯⋯⋯·⋯⋯··92．2．2As