定价因子选择对股票市场异象检验的影响

发布时间：2018-03-28 23:12

本文选题：股票市场　切入点：异象　出处：《江汉论坛》2017年09期

【摘要】：现有研究股市异象的文献大多使用Fama-French三因子模型、Carhart四因子模型和Fama-French五因子模型,其中多数文献并未就所选模型是否适用于对应异象的检验加以探讨。我们收集了6种异象,分别使用CAPM、三因子模型和五因子模型进行检验,发现:(1)6种异象的真实溢价均不显著,但使用最新的五因子模型检验出了显著的阿尔法;(2)当使用应用最广的三因子模型时得到了更加膨胀的阿尔法;(3)使用经典的CAPM模型得到了较为合理的结果;(4)市值因子是导致异象溢价的阿尔法被夸大的主要原因,价值因子则为次要原因。结果表明,研究股市异象时需要慎重考虑所选定价模型是否适用于检验该异象,不恰当地使用定价因子会导致矫枉过正的后果。
[Abstract]:Most of the existing literatures on stock market anomalies use Fama-French three-factor model and Fama-French five-factor model, most of which do not discuss whether the selected model is applicable to the test of the corresponding anomalies. We have collected six kinds of anomalies. Using CAPM, three-factor model and five-factor model to test, we found that the true premium of the six kinds of anomalies was not significant. But using the latest five-factor model to test the significant Alpha Faxi 2) when using the most widely used three-factor model, we got the more inflated Alpha-Faxi 3) using the classical CAPM model, we got a more reasonable result. Subs are the main reason why Alpha, who pays an aberration premium, is overstated. The value factor is the secondary reason. The result shows that when studying the abnormal vision of the stock market, we should carefully consider whether the pricing model is suitable for testing the anomaly, and the improper use of the pricing factor will lead to overcorrection.
【作者单位】：北京化工大学经济管理学院;
【基金】：教育部人文社会科学研究青年基金项目“中国指数基金交易的经济后果研究”(17YJC790177) 北京化工大学“中央高校基本科研业务费专项资金资助自由探索项目”(ZY1707)
【分类号】：F224;F832.51

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