中国创业板市场有效性研究——基于Fama-French五因素模型的分析  

The Research of Market Effectivity in China’s Growth Enterprise Market:Based on Fama-French Five Factors Analysis

作　　者：马润平 沈婕 Ma Run-ping;Shen Jie(School of Finance,Lanzhou University of Finance and Economics,Lanzhou 730020,China)

机构地区：[1]兰州财经大学金融学院,甘肃兰州730020

出　　处：《经济问题》2021年第9期46-52,共7页On Economic Problems

基　　金：国家社会科学基金项目“健全系统性金融风险预警、防控与应急处置机制研究”(18BJY231);甘肃省软科学专项“绿色金融助推甘肃省十大生态产业发展的路径研究”。

摘　　要：股票的超额收益是否可以预测的问题一直是学术界关注的重点。在市场有效性假说的框架下,传统金融理论认为股票价格是随机的,直到动量效应的发现,定价模型不断得以补充和修正。以动量效应的研究为起点,将其出现以来国内外学者关于资产定价模型的研究文献进行梳理,运用Fama-French五因素模型分析方法并借鉴国内学者对其的改进思路对我国创业板市场2010年至2020年的数据进行实证研究,检验了Fama-French五因素模型对创业板市场的拟合程度,最后得出如下结论:Fama-French五因素模型对创业板具有一定的解释性,但是据其得出的结论与投资者青睐规模大的股票的传统观念存在冲突,创业板市场中规模小的股票相对于规模大的更有可能取得较高的超额收益,研究将会为投资者了解创业板市场提供一个新的视角。Academic opinion has always followed the issue whether the excess return of stock can be predicted.Based on the efficient market hypothesis,traditional financial theory assumes that stock prices are random.However the emerging momentum effect has shattered the traditional view of thinking and pushed financial scholars to enrich the model of asset pricing.It is of great practical significance to use the theory of asset pricing model to explain the efficiency of China’s financial market for investment and financing.With the start inspection of momentum effect,we combed the scientific literature that done by scholars at home and abroad.We used proper method with the data of growth enterprise market to do empirical research and figured out the Fama-French five factors mode fitting degree.It is found that Fama-French five factors could explain second board to a certain extent.However the conclusion conflicts with traditional ideas and it tells us that small-sized stocks may have the chance to earn more excess returns.The research will provide a new perspective for investors to understand the market more comprehensively.

关 键 词：Fama-French五因素模型 市场有效性 创业板市场 动量效应 

分 类 号：F275[经济管理—企业管理]