Fama-French五因子模型比三因子模型更胜一筹吗——来自中国A股市场的经验证据  

Does Fama-French Five Factor Model Outperform Three Factor Model? Evidence from China's A-Share Market

作　　者：赵胜民[1,2] 闫红蕾[1,2] 张凯[1,2] 

机构地区：[1]南开大学金融学院 [2]中国特色社会主义经济建设协同创新中心

出　　处：《南开经济研究》2016年第2期41-59,共19页Nankai Economic Studies

基　　金：教育部人文社会科学研究规划基金"我国宏观审慎政策协调问题研究(项目编号:15YJA790090)"资助

摘　　要：Fama-French在原有三因子模型的基础上增加了RMW和CMA两个代表公司盈利能力和投资水平的因子,发现HML成为冗余变量,这一结论与我国已有研究相悖。五因子模型的解释能力是否因市场而异,就我国股市而言,五因子是否比三因子解释能力更胜一筹尚无定论。本文通过对我国A股市场交易数据和财务数据的实证分析发现我国股市市值效应和价值效应明显,而RMW和CMA两个因子无益于诠释股票组合的回报率。与美国股市的经验相反,三因子模型更适合我国,因子定价模型的有效程度因市场发展水平和投资理念而异。本文对资产定价的理论和实证研究提供了经验和参考。Fama and French（2015）updated their asset pricing model by adding RMW and CMA,which represent profitability and investment respectively to the three factor model and found the factor HML became redundant,which was contradict with China′s existing findings. Whether the pricing factors vary among stock markets and whether it is suitable for China′s A-share market need to be verified. In this paper,we analyze trading data and financial reports of the listed companies,and find that size effect and value effect are obvious whereas RMW and CMA underperform in explaining portfolio returns. Contrary to the U.S.experience,the three factor model outperforms in China and the effectiveness of factor model depends on the efficiency and trading philosophy of the stock market. This research provides reference for asset pricing research.

关 键 词：价值策略 FAMA-FRENCH三因子模型 Fama-French五因子模型 资产定价 

分 类 号：F832.51[经济管理—金融学] F224