Fama-French五因子模型在中国股票市场的实证检验  

Fama-French Five Factor Model in China Stock Market

作　　者：李志冰[1] 杨光艺[1] 冯永昌[2] 景亮[2] LI Zhibing YANG Guangyi FENG Yongchang JING Liang(Guanghua School of Management, Peking Universit Beijing Quanttech Information Technology Co. Ltd)

机构地区：[1]北京大学光华管理学院,北京100871 [2]北京量邦信息科技股份有限公司,北京100086

出　　处：《金融研究》2017年第6期191-206,共16页Journal of Financial Research

基　　金：国家自然科学基金(项目批准号:11271031;71532001;11525101)的资助

摘　　要：本文以1994年7月至2015年8月A股上市公司为样本,考察五因子模型在中国股市不同时期的应用。主要结论有:(1)全样本下规模、账面市值比效应显著,经三因子模型调整后盈利能力及投资风格效应仍显著,但不存在显著的动量或反转效应;(2)五因子模型有非常强的解释能力,比CAPM、三因子及Carhart四因子模型表现更好;(3)股改前市场风险占据主导地位,盈利能力、投资风格及动量因子"冗余",股改后这三个因子的风险溢价显著;(4)股改后存在经五因子模型调整后仍显著的反转效应;(5)股改后实际收益率与预期收益率的差异更接近于0,市场趋于"有效"。This paper focuses on the application of Fama - French five factor model in China stock market, by sampling A -share listed firms for the period from July 1994 to August 2015. Our main conclusions are： （ 1 ） size effect and book - to - market effect are significant, when profitability effect and investment effect remain but neither momentum nor reversal after three - factor adjustment in all ample test; （2） five - factor model performs better than CAPM, three - factor model and Carhart model ; （3） market risk dominates before Split - share structure reform while profitability, investment and momentum factors are redundant, but the latters get priced after the reform; （4） there exists significant reversal effect adjusted by five - factor model after the reform; （5） the difference between realized and expected return is more close to zero after the reform, which means capital market tends to be more effective.

关 键 词：因子模型 盈利能力 投资风格 

分 类 号：F224[经济管理—国民经济] F832.51