Fama-French五因子模型在中国股票市场的实证检验

发布时间：2018-04-28 14:44

本文选题：因子模型 + 盈利能力　；参考：《金融研究》2017年06期

【摘要】：本文以1994年7月至2015年8月A股上市公司为样本,考察五因子模型在中国股市不同时期的应用。主要结论有:(1)全样本下规模、账面市值比效应显著,经三因子模型调整后盈利能力及投资风格效应仍显著,但不存在显著的动量或反转效应;(2)五因子模型有非常强的解释能力,比CAPM、三因子及Carhart四因子模型表现更好;(3)股改前市场风险占据主导地位,盈利能力、投资风格及动量因子"冗余",股改后这三个因子的风险溢价显著;(4)股改后存在经五因子模型调整后仍显著的反转效应;(5)股改后实际收益率与预期收益率的差异更接近于0,市场趋于"有效"。
[Abstract]:From July 1994 to August 2015, A-share listed companies are taken as samples to investigate the application of five-factor model in different periods of Chinese stock market. The main conclusions are as follows: (1) under the whole sample scale, the paper market value ratio effect is significant, the profitability and investment style effects are still significant after the adjustment of the three-factor model, but there is no significant momentum or reversal effect. The five-factor model has very strong explanatory power. Compared with the CAPM, three-factor and four-factor Carhart models, the market risk plays a dominant role and the profitability of the stock market before the reform is better than that of the three-factor model and the four-factor model of Carhart. The investment style and momentum factor are "redundant", the risk premium of these three factors is significant (4%) after the stock reform, there is still a significant reverse effect after the five-factor model adjustment (5) the difference between the real return rate and the expected rate of return after the stock reform is even more significant. Close to zero, the market tends to be "efficient".
【作者单位】：北京大学光华管理学院;北京量邦信息科技股份有限公司;
【基金】：国家自然科学基金(项目批准号:11271031;71532001;11525101)的资助
【分类号】：F224;F832.51

【相似文献】