三因素模型定价：中国与美国有何不同？  

Fama-French Three-Factor Model Pricing: Is China Different from the USA?

作　　者：田利辉[1] 王冠英[2] 张伟[3] 

机构地区：[1]南开大学 [2]天津大学管理与经济学部 [3]西南财经大学会计学院

出　　处：《国际金融研究》2014年第7期37-45,共9页Studies of International Finance

基　　金：国家自然科学基金(No.71272179);教育部重大课题攻关项目(13JZD006)的研究成果

摘　　要：Fama-French三因素模型是资产定价的经典模型,在资本市场实践中广为应用。对比检验中美两国股票组合同期收益率,本文发现中国股市系统性风险突出,存在着市值规模效应,但账面市值比效应并不显著。中国股票组合的收益率是能够被市场风险溢价和市值规模效应的二因素模型较好诠释的。较之美国股市,中国政策信息影响频仍,个股对市场的变化敏感,但是中国投资者对于上市公司的成长性关注尚且不足。这就是说,相对于美国股市而言,中国股市的资源配置功能尚未完全实现。The classic Fama-French three-factor model is based on the American stock markets, but it is also widely used by the investment professionals in China. Examining the portfolio returns during the same period of the Chinese and American stock markets, we find that the market risks in China are dominant. We also show that there exist the size effects in China, while the book-to-market effects are not significant. Therefore, the two-factor model with the market factor and the size factor works better in the Chinese stock market. Compared with the United States, the government policies related to the stock market change frequently, the returns of individual shares are highly sensitive to the market changes. As the factor of firm growth is insignificant in share pricing in China, the Chinese stock market has not been able to optimize the distribution of capital resources.

关 键 词：资产定价 系统性风险 Fama—French三因素模型 

分 类 号：F831[经济管理—金融学]