股票期望收益率决定因子分析及应用研究  

Analysis and application of the determinants of expected stock returns

作　　者：卢大印[1] 林成栋[1] 刘元海[2] 

机构地区：[1]上海交通大学安泰经济管理学院,上海200052 [2]同济大学管理学院,上海200070

出　　处：《哈尔滨工业大学学报》2006年第9期1537-1540,1548,共5页Journal of Harbin Institute of Technology

基　　金：国家自然科学资助基金资助项目(70373053)

摘　　要：对中国股市股票期望收益率决定因子进行系统实证研究,结果表明:个股总体风险、非系统风险、自然对数流通市值、价格、净市值比率和换手率对股票期望收益率具有决定作用.并且由流通市值、价格、换手率3个因子构成的期望收益率因子模型可用于预测股票实际收益率,即由股票期望收益率最大的股票构成的组合,可以获得较高的实际收益率.The paper studies the factors of determinants of expected stock returns in Chinese Stock market. The empirical evidences show that volatility of total return, residual variance, size, price, Book-to-Market and turnover determine the expected stock returns. At the same time, the expected return factor model, jointly constructed by size, price and turnover, can predict the stock realized returns. That is to say, the portfolio, which is constructed by those stocks with the highest expected returns, can achieve higher realized returns.

关 键 词：期望收益率 决定因子 因子模型 

分 类 号：F830.91[经济管理—金融学]