| The asset pricing theory is the research focus of the academic since it has been put forward, there are many scholars have made very important asset pricing models, these asset pricing models have found different factors influence asset return. The most classic is the Capital Asset Pricing Model(CAPM), the model considered the direct investors, without regarding to any institutional investors, which consistent with the market conditions when the model proposed. With the development of financial market, institutional investors accounted for the majority in the financial markets currently. Data show that in1997, institutional investors accounted for less than1%of the shares in China, but by the end of2013, the holdings proportion of direct investors were26.88%, funds and other institutional investors hold A stock market value accounted for18.6%, and the rest of the shares were held by companies. Since institutional investors are accepting appointments as a proxy investment, they inevitably have adverse selection and moral hazard principal-agent problem, leading institutional investors may deviate the client’s investment objectives. With the increase in the proportion of institutional investors, they have different goals with the client direct investors, it may have an impact on asset pricing, leading the traditional CAPM model no longer applicable. Therefore, the research of the impact of agency on asset pricing has very important significance.In this paper, we choice the SSE180Index as the benchmark index, the Shanghai Composite Index as the market index, use the150shares of the Shanghai A shares as samples to study the impact of agency on asset pricing. This paper will study in the three sample periods (1998-2002,2003-2007and2008-2012) respectively, and each sample period are split into three periods:Portfolio formation period, parameter estimation period and testing period. The market beta and benchmark beta of each stock is estimated during the portfolio formation period, first, all stocks are divided into five portfolios based on the size of market beta of each stock, and then in accordance with the size of benchmark beta, each group which is further divided into five portfolios, so that all the stocks are divided into25portfolios. Then use the data of the parameter estimation period to get the market beta and benchmark beta of all the portfolios during the testing period, that is the model explanatory variables, and then calculated the market value weighted average return on all the portfolios during the testing period, which is the model explanated variables, using these data to estimate the regression model. The results show that agency has an impact on asset pricing during the2008-2012sample period. Then, the paper select16large-scale, highly mobile open-ended equity fund of the Chinese stock market to test the empirical results of the model, the study sample period is2005-2007and2010-2012, the test results indicate that agency has an impact on asset pricing during the sample2010-2012. Finally, this paper use the25portfolios of the sample period2008-2012to test model forecast during the sample period January2013to December2013, results confirmed that model is stability and applicability in Chinese stock market and it can measure the return on assets.The results also showed the classic Capital Asset Pricing Model(CAPM) is effective during the sample period1998-2002, and the asset pricing model based on agency is nearly significant during the sample period2003-2007, we think it is in line with the development of Chinese financial markets. Since the open-end funds launch in2001, institutional investors didn’t grow rapidly until2008, showing institutional investors has a certain impact on asset pricing during the sample period2003-2007, but such forces were relatively weak, agency was not sufficient to have a significant impact on asset pricing, but since2008, the rapid growth of institutional investors holding shares, so that agency have a significant impact on asset pricing. |
PDF Full Text Request