欧洲股票市场的规模和动因:基于不同β系数的资本资产定价模型实证研究  

Size and Momentum in European Stock Markets:Empirical Study of Varying Beta Capital Asset Pricing Model

作　　者：杨国莉[1] 杨淑君[1] 刘丽敏[1] 武宗志[1] 

机构地区：[1]河北经贸大学,石家庄050061

出　　处：《财务与金融》2011年第6期6-12,共7页Accounting and Finance

基　　金：2011年河北省科学技术研究与发展计划项目(项目批准号:11457235D)

摘　　要：我们选用在13个欧洲股市上市的证券,形成规模和动因组合。我们不仅发现规模溢价的证据,还发现8个样本市场存在重大动因收益率。这些收益率可能不构成异常现象,因为它们与不同β值的资本资产定价模型一致。我们还发现,系统风险与经济周期有关。此外,研究结果显示,虽然规模和动因收益率显著,但是难以在中、短期利用它们,因为在我们的样本中只有极少年份它们的数值为正且很大。Through using securities listed on 13 European equity markets to form size and momentum portfolios, we find limited evidence of a size premium but significant momentum returns in eight sample markets. We find that this premium may not constitute an anomaly because they are consistent with a varying-beta Capital Asset Pricing Model. We also show that systematic risk is related to the business cycle. Furthermore, the results suggest that although size and especially momentum returns are significant, it would be difficult to exploit them in the short to medium run, because they are positive and sizeable in very few years in our sample.

关 键 词：资产定价 时变风险 资本资产定价模型 

分 类 号：F83[经济管理—金融学]