Fama-French多因子模型与CAPM模型的比较——来自中国市场的证据  

Comparison of Fama-French Multi-Factor Model with CAPM Model——Evidence from the Chinese Market

作　　者：杨麒麟 杨婧[1] 吕龙超 YANG Qi-lin;YANG Jing;LV Long-chao(Chengdu University of Technology,Chengdu 610059,China)

机构地区：[1]成都理工大学,成都610059

出　　处：《中小企业管理与科技》2020年第17期86-87,共2页Management & Technology of SME

摘　　要：Fama-French 2015年时利用RMW和CMA这两个代表公司盈利能力和投资水平的因子扩建了其经典三因子模型,以试图解释动量效应等金融异象,并在欧美市场上发现HML成为冗余变量。我国有不少学者认为三因子模型适合我国国情。在此基础上,论文运用CAPM模型与多因子模型对中国市场上证券收益率进行了检验。对比发现,更多因子的投入可以带来解释力度的上升,但是模型运用的诸多因子中也可能存在冗余。即便在三因子模型中,就我国而言,HML因子可能也是冗余的。In 2015,Fama-French extended its classic three-factor model by using RMW and CMA,two factors representing corporate profitability and investment level,to try to explain financial anomalies such as momentum effect,and found that HML became redundant variables in European and American markets.Many Chinese scholars believe that the three-factor model is suitable for China's national conditions.On this basis,the paper uses CAPM model and multi-factor model to test the return rate of securities in the Chinese market.The comparison shows that the input of more factors can increase the explanatory power,but there may be redundancy in many factors used by the model.Even in the three-factor model,HML factors may be redundant in China.

关 键 词：价值策略 因子模型 资本资产定价 中国市场 

分 类 号：F224[经济管理—国民经济] F832.5