中国A股市场股票收益率风险因素分析:基于Fama-French三因素模型  

Risk Factor Analysis of Chinese A Share Market' s Stock Return Rate: Based on Fama-French Three Factor Model

作　　者：刘辉[1] 黄建山[2] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061 [2]上海证券交易所,上海200120

出　　处：《当代经济科学》2013年第4期27-31,125,共5页Modern Economic Science

摘　　要：本文以中国A股市场上市公司为样本,基于Fama-French三因素模型,实证分析了中国A股市场股票收益率的风险因子。研究结果表明,Fama-French三因素模型较CAPM模型能更好地解释中国A股市场的股票收益率;中国A股市场股票收益率存在规模与价值效应,股票(或股票组合)收益与公司规模呈显著负相关关系,而与公司账面市值比呈显著正相关关系。This paper takes the listed companies of Chinese A share market as sample and positively analyzes the risk factors of Chinese A share market 's stock return rate based on Fama-French three factor model.The research result indicates that Fama-French three factor model can better explain the stock return rate of Chinese A share market than CAPM.The stock return rate of Chinese A share market has scale and value effect.Significant negative correlation exists between stock(or stock combination) return rate and a company's scale and significant positive correlation exists between it and a company's book market capitalization.

关 键 词：A股市场 股票收益率 市场因子 规模因子 价值因子 

分 类 号：F224[经济管理—国民经济] F832.51