上市公司新质生产力影响股票风险溢价吗?——基于我国A股市场的Fama-French三因子模型扩展研究  

Does New Quality Productivity of Listed Companies Affect Equity Risk Premium:Based on the Expansion of the Fama-French Three-Factor Model

作　　者：夏宇 Xia Yu

机构地区：[1]广州商学院经济学院,广东广州511363 [2]北京大学经济学院博士后流动站,北京100871

出　　处：《金融理论与实践》2025年第2期93-103,共11页Financial Theory and Practice

基　　金：教育部人文社科项目(22YJAZH001);广东省教育厅2023年度普通高校重点科研平台和项目-创新团队项目(2023WCXTD025);2025年度中国服务贸易协会研究课题(CATIS-PR-250124);广东省教育厅重点学科研究提升项目(2022ZDJS134);广东省哲学社会科学规划基金(GD23XYJ56);广州市哲学社科规划2023年度课题(2023GZYB75);广东省普通高校特色创新类项目(2023WTSCX131)的阶段性成果。

摘　　要：股票风险溢价影响因素的探索一直是资产定价领域研究的热点话题,然而在当前大量的Fama-French三因子模型扩展研究中却少有涉及新质生产力这一重要概念,同时,目前关于新质生产力对于金融市场特别是股票市场的实证研究也相对较少。研究发现,我国上市公司新质生产力能够对Fama-French三因子模型进行有效扩展,研究在扩展资产定价理论体系、完善新质生产力相关研究的同时,为投资者、上市公司以及政府部门提供了新质生产力方面的现实建议。The exploration of factors affecting stock risk premium has always been a hot topic in the field of asset pricing research.However,in the current extensive research on the expansion of Fama French three factor models,there is little mention of the concept of new quality productivity,which has important theoretical and practical significance for promoting high-quality economic development in China.At the same time,there are few empirical studies on the impact of new quality productivity on financial markets,especially the stock market.Research has found that the new quality productivity of listed companies in China can effectively extend the Fama French three factor model.This conclusion not only expands the asset pricing theory system and improves related research on new quality productivity,but also provides practical suggestions for investors,listed companies,and government agencies in terms of new quality productivity.

关 键 词：资产定价模型 风险因子 金融市场 科技创新 

分 类 号：F830.91[经济管理—金融学]