A股市场FF模型适用性的实证研究  

Emperical Analysis of Adaptability of Three-factor Model in Chinese A Stock Market

作　　者：王海龙[1] 

机构地区：[1]广西师范大学经济管理学院,广西桂林541006

出　　处：《重庆交通大学学报（社会科学版）》2012年第2期55-58,共4页Journal of Chongqing Jiaotong University:Social Sciences Edition

摘　　要：对三因素模型在我国证券市场的适用性问题,即股票预期收益率与市场溢价因素、公司规模因素和账面市值比因素的关系问题进行实证研究。根据分析样本,得出以下结论:总体而言,三因素模型在我国股票市场是适用的,可以作为一个方便实用的工具来帮助投资者对中国股票市场进行分析和预测;中国股票市场具有规模效应和账面市场价值比效应,价值型股票的收益率高于成长型股票的收益率。The adaptability of the three-factor model in Chinese A stock market is investigated, that is the relationship between stock returns and market beta, size and book-to-market equity in Chinese A stock market. According to the sample examined, the following conclusions are drawn, namely, in general, the three-factor model still has the adequate power to explain the crosssectional variation of stock returns in Chinese A market, and that there also exist size effect and book-to-market equity effect in China, value stocks perform better than growth stocks as far as returns are concerned.

关 键 词：三因素模型 规模因素 账面市场价值比因素 价值型股票 成长型股票 

分 类 号：F224[经济管理—国民经济] F832.51