發(fā)布時(shí)間：2018-04-28 14:44

  本文選題：因子模型 + 盈利能力��； 參考：《金融研究》2017年06期

【摘要】：本文以1994年7月至2015年8月A股上市公司為樣本,考察五因子模型在中國股市不同時(shí)期的應(yīng)用。主要結(jié)論有:(1)全樣本下規(guī)模、賬面市值比效應(yīng)顯著,經(jīng)三因子模型調(diào)整后盈利能力及投資風(fēng)格效應(yīng)仍顯著,但不存在顯著的動(dòng)量或反轉(zhuǎn)效應(yīng);(2)五因子模型有非常強(qiáng)的解釋能力,比CAPM、三因子及Carhart四因子模型表現(xiàn)更好;(3)股改前市場風(fēng)險(xiǎn)占據(jù)主導(dǎo)地位,盈利能力、投資風(fēng)格及動(dòng)量因子"冗余",股改后這三個(gè)因子的風(fēng)險(xiǎn)溢價(jià)顯著;(4)股改后存在經(jīng)五因子模型調(diào)整后仍顯著的反轉(zhuǎn)效應(yīng);(5)股改后實(shí)際收益率與預(yù)期收益率的差異更接近于0,市場趨于"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".
【作者單位】： 北京大學(xué)光華管理學(xué)院;北京量邦信息科技股份有限公司;
【基金】：國家自然科學(xué)基金(項(xiàng)目批準(zhǔn)號(hào):11271031;71532001;11525101)的資助
【分類號(hào)】：F224;F832.51

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本文編號(hào)：1815704