五因素模型在我国资本市场的再检验  

Re-examination of Five-factor Model in China’s Capital Market

作　　者：熊艳[1] 涂诗晴 马君 Xiong Yan;Tu Shiqing;Ma Jun(Shandong University of Finance and Economics,School of Accountancy,Ji Nan 250014)

机构地区：[1]山东财经大学会计学院,山东济南250014

出　　处：《中国资产评估》2021年第12期27-33,40,共8页Appraisal Journal of China

摘　　要：自William Sharpe、Jone Lintner等人提出CAPM模型后,该模型对金融发展起到了极其重要的作用。与此同时,CAPM模型的有效性也受到了部分学者质疑,一些实证研究证明CAPM模型并不足以解释不同个股收益率之间的差异。本文以中国A股上市公司为样本,探讨五因素模型在当前资本市场的表现。研究发现,公司规模、盈利能力、投资风格与个股收益率及风险溢价显著相关。Since William Sharpe, Jone Lintner and others put forward CAPM model, it has played an extremely important role in financial development. At the same time, the effectiveness of CAPM model has been questioned by some scholars, and some empirical studies have proved that CAPM model is not enough to explain the difference between different stock returns. This paper takes Chinese A-share listed companies as samples to explore the performance of the five-factor model in the current capital market. It is found that company size, profitability and investment style are significantly correlated with individual stock return rate and risk premium.

关 键 词：CAPM模型 Fama-French五因素模型 盈利能力 投资风格 

分 类 号：F233[经济管理—会计学]