关于基本面指数在中国股市的实证探索-金融学专业论文.docxVIP

硕士学位论文 关于基本面指数在中国股市的实证探索 EXPLORATION ON FUNDAMENTAL INDEXATION IN CHINESE STOCK MARKET 作 者：秦旺 导 师：杜倩倩 上海交通大学上海高级金融学院 二○一二年六月 EXPLORATION ON FUNDAMENTAL INDEXATION IN CHINESE STOCK MARKET By Qin Wang Under the Supervision of Professor Du Qianqian Submitted in Partial Fulfillment of the Requirements For the Degree of Master in Finance Shanghai Advanced Institute of Finance Shanghai Jiao Tong University June 2012 Contents HYPERLINK \l _bookmark0 ABSTRACT i HYPERLINK \l _bookmark1 摘 要 ii HYPERLINK \l _bookmark2 Introduction 1 HYPERLINK \l _bookmark3 Chapter 1: Background Literature Review 6 HYPERLINK \l _bookmark4 Portfolio asset pricing theory review 6 HYPERLINK \l _bookmark5 Fundamental indexation theory review 8 HYPERLINK \l _bookmark6 Challenges against fundamental indexation review 9 HYPERLINK \l _bookmark7 Chapter 2: Theory Justification 11 HYPERLINK \l _bookmark8 Noise-in-price model description 11 HYPERLINK \l _bookmark9 Return drag in capitalization weighted portfolio 11 HYPERLINK \l _bookmark10 Excess return in fundamental weighted portfolio 14 HYPERLINK \l _bookmark11 Excess return in approximated fundamental weighting 15 HYPERLINK \l _bookmark12 Chapter 3: Data and Methodology 18 HYPERLINK \l _bookmark13 Data source and data description 18 HYPERLINK \l _bookmark14 Construction of fundamental indices 18 HYPERLINK \l _bookmark15 Evaluation on fundamental index evaluation 20 HYPERLINK \l _bookmark16 Chapter 4: Empirical Results Analysis 22 HYPERLINK \l _bookmark17 Performance analysis on fundamental indices via accounting metrics 22 HYPERLINK \l _bookmark18 Overall performance analysis 22 HYPERLINK \l _bookmark19 Adjusted indices by accounting metrics 24 HYPERLINK \l _bookmark20 Performance analysis on fundamental indices via smoothed capitalization weights 26 HYPERLINK \l _bookmark21 Excess return analysis via Fama-French 3-Factor Model and 4-Factor Model with the HYPERLINK \l _bookmark21 addition of momentum factor 28 HYPER