基于Fama-French三因子模型对我国上市银行股的实证检验

发布时间：2018-01-20 06:42

本文关键词： Fama-French三因子模型银行股规模账面市值比　出处：《统计与决策》2016年21期 　论文类型：期刊论文

【摘要】：文章以我国沪深两市16家上市银行为研究对象,将这16只个股按规模和账面市值比分成四组,运用Fama-French三因子模型进行实证检验和回归分析。实证检验结果表明:四个组合Fama-French三因子模型回归所得市场风险测度β值都显著,且都小于1,说明银行业收益波动对市场收益波动的敏感度不高,波动幅度小于市场波动幅度,银行业整体系统性风险较小,其风险报酬小于市场平均风险报酬;对于小盘银行股和大盘低账面市值比银行股来说,规模效应和账面市值比效应存在,对于大盘高账面市值比银行股来说,这两个因素不显著;我国银行业中较小规模、高账面市值比的股票风险报酬最高,可被看做银行业中的成长股,适合在牛市持有;市值较大的银行股多为国有控股,属于银行业中的价值股,适合长期价值投资。
[Abstract]:Taking 16 listed banks in Shanghai and Shenzhen stock markets as the research object, the paper divides the 16 stocks into four groups according to their size and book value market value ratio. The empirical test and regression analysis using Fama-French three-factor model show that:. Four combinations of Fama-French three-factor model regression results in the market risk measurement 尾 value are significant. All of them are less than 1, which indicates that the sensitivity of banking return fluctuation to market return fluctuation is not high, the fluctuation range is smaller than market fluctuation range, and the banking industry overall systemic risk is small. The risk return is less than the market average risk return; For the small-cap bank stocks and the large-cap low-book market value stocks, the scale effect and the book market value ratio effect exist, while for the large market high-book market value shares, the two factors are not significant; In the banking industry of our country, the stock risk reward of the high book market value ratio is the highest, which can be regarded as the growth stock in the banking industry, which is suitable for holding in the bull market. Market value's larger bank shares are mostly state-controlled and belong to value stocks in the banking sector, which is suitable for long-term value investment.
【作者单位】：北京语言大学商学院;
【分类号】：F832.51
【正文快照】： 0引言资本资产定价一直是现代金融学领域研究的热点之一,并由此产生了许多相关理论。其中,William Sharpe等人在1964年提出的CAPM模型影响最大,Stephen Ross在1976提出的APT模型与Fama和French在1992年提出的Fama-French三因子模型也很著名。CAPM模型和Fa-ma-French三因子模型

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