摘要
本文以中国2008年1月至2021年12月的沪深主板和创业板市场数据为样本,考察五因子模型在中国股票市场的适用性。实证结果表明,在中国股票市场上,五因子模型的解释力比三因子模型的解释力更强;五因子模型在小规模市值组合中解释力更强;与美国股市的结果不同,中国股票市场上投资因子CMA为冗余因子;中国股票市场上存在显著的规模效应和利润效应,价值效应只存在于大规模类或高投资水平类股票中,而投资效益不显著。除此之外,本文进一步揭示了五因子模型在中国资本市场上的适用性,为后续寻找适合中国资本市场的定价因子奠定坚实基础,对于优化投资结构、促进中国资本市场的发展具有重要意义。
This paper takes the data of Shanghai and Shenzhen main board and Growth Enterprise Market from January 2008 to December 2021 as samples to investigate the applicability of five-factor model in Chinese stock market.The empirical results show that the explanatory power of the five-factor model is stronger than that of the three-factor model in the Chinese stock market.The five-factor model has stronger explanatory power in small-scale market capitalization portfolio.Different from the results of the American stock market,the investment factor CMA in the Chinese stock market is a redundancy factor.There are significant scale effect and profit effect in Chinese stock market,and value effect only exists in large-scale or high investment level stocks,but the investment benefit is not significant.In addition,this paper further reveals the applicability of the five-factor model in Chinese capital market,and lays a solid foundation for the subsequent search for the pricing factors suitable for Chinese capital market,which is significant for optimizing the investment structure and promoting the development of Chinese capital market.
作者
张宇航
Zhang Yuhang(School of Finance,Zhongnan University of Economics and Law,Wuhan 430073,China)
出处
《中南财经政法大学研究生论丛》
2022年第6期52-64,78,共14页
Journal of the Postgraduates of Zhongnan University of Economics and Law
