基于Fama-French三因素模型的我国A股市场的实证分析  

Empirical Study of Fama-French Three-Factor Model in Chinese A Share Stock Market

作　　者：张超锋[1] 谢子光[1] 张斌儒[1] 

机构地区：[1]四川文理学院数学与财经学院,四川达州635000

出　　处：《科技和产业》2014年第1期149-154,共6页Science Technology and Industry

基　　金：四川省自然科学基金项目(13ZB0102)

摘　　要：实证检验了Fama-French三因素模型描述我国A股市场期望超额收益率的解释能力。分别针对上证A股和深证A股做了四类模型的回归分析,为了能够从各类模型的对比中准确地捕捉到各因素影响投资组合期望超额收益率动态特征。结果显示,随着公司规模和账面市值比的变化,市场风险因素的系数变化不大,而规模风险因素的系数和账面市值比风险因素的系数呈现巨大差异,模型的拟合效果表明Fama-French三因素模型在我国A股市场表现出相当高的解释能力。This paper tests the effect of the Fama-French three-factor asset pricing models based on Shanghai and Shenzhen stock A share market. We analyze four different models in order to compare the effect of each factor as market value and book value ratio vary. Statistical results show that the coefficients of market excess returns have no significant difference while the coefficients of the market value factor and the book to market ratio factor display great differences. Moreover, the performance for the three factors models based on each group which suggests high explanatory ability of the three-factor model in Chinese A share stock market.

关 键 词：CAPM FAMA-FRENCH三因素模型 流通市值 账面市值比 

分 类 号：F830.9[经济管理—金融学]