A股市场的风险与特征因子

发布时间：2018-03-06 10:11

本文选题：A股回报率　切入点：股票市值　出处：《金融研究》2011年10期 　论文类型：期刊论文

【摘要】：本文研究A股回报率的规律,探索构建适用于A股市场的因子模型,这一模型不同于发达市场如美国股市的三因子模型。在系统研究A股市场上贝塔系数、股票市值、市盈率、市净率、杠杆率、流通股比率对回报率的影响后,我们发现股票市值、市盈率对回报率的影响显著,杠杆率对回报率的影响前期较强,近期减弱,其余因素无显著影响。市场平均回报率、股票市值和市盈率三个因子可以解释A股回报率变化的90%以上。控制了这三个因子以后,其他因素对A股回报率无显著影响。在确立了A股市场的三因子模型后,我们进一步考察股票市值和市盈率是风险因子还是特征因子。证据表明,股票市值背后既有风险也有特征因素,而市盈率对回报率的影响只与股票特征有关。
[Abstract]:This paper studies the law of A share rate of return, and explores the construction of a factor model suitable for A share market. This model is different from the three factor model in developed markets such as American stock market. In this paper, the beta coefficient, stock market value, price-earnings ratio in A share market are systematically studied. After the effect of price-to-book ratio, leverage ratio, and tradable stock ratio on the return, we find that market value, the price-earnings ratio has a significant impact on the rate of return, and the leverage ratio has a stronger impact on the return in the early period, but in the near future it has weakened. The other factors have no significant effect. The market average return, stock market value and price-earnings ratio can explain the change of A-share return by more than 90%. After controlling these three factors, Other factors have no significant effect on A-share returns. After establishing the three-factor model of A-share market, we further investigate whether market value and price-earnings ratio are risk factors or characteristic factors. There are both risks and characteristics behind market value, and the effect of price-earnings ratio on returns is only related to stock characteristics.
【作者单位】：北京大学国家发展研究院;
【分类号】：F224;F832.51

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