规模组合、因子定价与均值方差张成——来自中国A股的证据  

Size Portfolio, Factor Pricing and Mean variance Spanning:Evidence from China’s A Share Market

作　　者：吴国清[1] 周远航[2] 

机构地区：[1]清华大学经济管理学院 [2]中国人民大学商学院

出　　处：《数量经济技术经济研究》2005年第11期57-67,共11页Journal of Quantitative & Technological Economics

摘　　要：本文从均值方差张成的角度探讨了多因子定价模型在中国的适用性,并对规模组合能否作为定价因子这一问题进行了实证考察。对沪深两市A股的10个规模组合的均值方差张成检验表明,大、中、小3个规模组合在短期内可以张成所有的规模组合的均值方差边界,这意味着这3个规模组合可以作为定价因子,解释其他风险资产收益率的变动。From the perspective of mean - variance spanning, this paper examines whether multifactor pricing theory is feasible in China and whether size portfolios can serve as the pricing factors. Evidences from China＇s A share market show that during Sep. 1994-Dec. 2004, three size - sorted portfolios can mimicking all the 10 size - sorted portfolios, which implies that these three size - sorted portfolios can serves as the pricing factors in China＇s A share market.

关 键 词：CAPM 套利定价 规模组合 张成检验 

分 类 号：F830.91[经济管理—金融学]