中国股票市场流动性与动量效应——基于Fama-French五因子模型的进一步研究

发布时间：2018-01-19 00:05

本文关键词： 股票市场流动性动量效应风险因子　出处：《金融经济学研究》2017年01期 　论文类型：期刊论文

【摘要】：针对Fama-French五因子模型不足以很好解释股票市场的动量效应,本文从因子定价模型出发,依据流动性溢价理论,将流动性作为风险因子加入五因子模型中构成六因子模型,并采取六因子模型对动量效应进行解释,经过对中国股票市场大量实证检验发现:流动性与动量效应显著负相关,且加入流动性因子的六因子模型对动量效应的解释度有了很大提升,解释度高达75%以上。这一发现在一定程度上缓解了现有资产定价模型在面对动量效应解释方面的尴尬境遇。
[Abstract]:As the Fama-French five-factor model is not enough to explain the momentum effect of stock market, this paper starts from the factor pricing model, based on the liquidity premium theory. Liquidity as a risk factor is added to the five-factor model to form a six-factor model, and the momentum effect is explained by the six-factor model. A large number of empirical tests on the Chinese stock market show that liquidity and momentum effect are significantly negatively correlated, and the six factor model with liquidity factor has greatly improved the interpretation of momentum effect. The degree of explanation is over 75%. This finding alleviates the awkward situation of the existing asset pricing models in the face of momentum effect explanation.
【作者单位】：华南理工大学工商管理学院;华南理工大学经济与贸易学院;
【基金】：广东省自然科学基金项目(2016A030313512) 中央高校基本科研业务专项资金(2015KXKYJ01,2015ZM086)
【分类号】：F832.51
【正文快照】： 陈杨炀许林华南理工大学经济与贸易学院,广东广州510006一、引言自Fama and Malkiel(1970)[1]正式提出有效市场假说(EMH)以来,收益的持续性一直是经典金融理论学派和行为金融理论学派争论的焦点。由Jegadeesh and Titman(1993)[2]提出的动量效应(Momentum Effect),即JT价格动

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