股票市场仍然存在超额收益吗?——基于条件资本资产定价模型的研究  

Does the Stock Market Still Have Excess Returns? Empirical Analysis Based on Conditional Capital Asset Pricing Model

作　　者：阳佳余 赵泽宇 张少东 Yang Jiayu;Zhao Zeyu;Zhang Shaodong(School of Finance, Nankai University, Tianjin 300350, China;China Banking Regulatory Commission Henan Office, Zhengzhou 450000, China)

机构地区：[1]南开大学金融学院,300350 [2]河南银监局,450000

出　　处：《南开经济研究》2018年第1期86-103,共18页Nankai Economic Studies

基　　金：国家自然科学基金项目"经济开发区的绩效评估:区域增长辐射效应与环境影响"(71473136);中央专项资金项目"时机选择;企业异质性与动态资本结构调整";中国特色社会主义经济建设协同创新中心(南开大学)的资助

摘　　要：本文放松了传统CAPM模型的恒定参数假定,在随机折现因子的框架下,运用Fama-Mac Beth两步骤回归方法,研究时变β对资本资产定价模型的改进作用。从时序数据来看,FF三因子模型的解释能力和定价能力均显著优于传统CAPM模型,条件CAPM模型并没有明显优势;但从横截面数据看,状态变量选择恰当时,条件模型不仅可以显著改善传统CAPM模型对截面收益的解释能力,还可以增强市场β在解释截面收益时的显著性,这一点是FF三因子模型无法做到的。研究表明简单假定β恒定是不准确的,β与价格、汇率、利率、投资等宏观因素存在紧密联系;相比于传统CAPM模型,引入时变β可以明显提升模型对截面收益的解释能力。This paper relaxes the constant β assumptions of traditional CAPM model, and uses two step Fama-MacBeth regression in the framework of stochastic discount factor to study the effect of time-varying β on the improvement of the capital asset pricing model. From the perspective of time series data, the explanatory power and pricing power of FF three-factor model are significantly better than the traditional CAPM model, and the conditional CAPM model does not have obvious advantages. While from the perspective of the cross section tests, conditional CAPM can significantly improve the interpretation of cross-section returns when choosing the appropriate state variables, and can enhance the significance of the market fl in interpreting the cross-section returns which FF three-factor model fails to achieve. This study shows that the sim- ple assumption of constant β approach is not accurate, and β is closely related to macro factors such as price, exchange rate, interest rate, and investment; compared with the traditional CAPM model, the introduction of time-varying β can significantly increase the model＇s explanation power to interpret cross-section returns.

关 键 词：条件CAPM模型 时变β 滑动窗口模型 

分 类 号：F832.51[经济管理—金融学]