基于会计信息相关性的五因子模型优化分析研究  

The Improvement of Five Factor Model Based on the Accounting Relevance

作　　者：胡志勇[1,2] 张婧昕 李旎 于贝贝 HU Zhi-yong;ZHANG Jing-xin;LI Ni;YU Bei-bei(School of Management,Guangzhou University,Guangzhou 510006,China;Institute of Intelligent Finance,Accounting&Taxation,Guangzhou University,Guangzhou 510006,China)

机构地区：[1]广州大学管理学院,广东广州510006 [2]广州大学智慧金财税研究所,广东广州510006

出　　处：《数理统计与管理》2021年第4期737-747,共11页Journal of Applied Statistics and Management

基　　金：国家自然科学基金(71602039)。

摘　　要：考虑到会计信息在资本市场中的重要作用,本文构建了会计信息相关性指标,并利用这一指标对五因子模型进行优化。结果表明,加入会计信息相关性的五因子优化模型能够比五因子模型更好地筛选出价值被低估的个股,获取更好的投资收益,且这一结果不受股票市场波动的影响。因此,本文构建的优化模型在五因子模型基础上提高了选股能力,帮助授资者提高决策效率。Based on the significant impact of accounting information in stock market,this paper con-structs the measure of accounting relevance and use such measure to improve the Fama-French five factors model.The result shows that improved model including the measure of accounting relevance can predict stock return better and this result is robust across different market conditions.Thus the model this paper constructs elevates the ability of selecting stock based on the five factor model and help investors improve their investment return.

关 键 词：会计信息相关性 五因子模型 预测价值 反馈价值 

分 类 号：F23[经济管理—会计学] F83[经济管理—国民经济]