多因素资产定价模型的实证研究  

Empirical Study on Multi-factor Asset Pricing Model

作　　者：李博 

机构地区：[1]厦门正达信咨询有限公司,福建厦门361003

出　　处：《商业研究》2003年第21期54-58,共5页Commercial Research

摘　　要：以上海股市417家A股股票为样本,以2000年2月18日至2001年6月8日的周收益率为样本数据,研究股票组合收益与各种因素之间的关系,建立9个单因素模型和6个四因素模型。结果发现:6种风险度量指标对股票组合收益率的解释能力十分微弱,而平均流通市值的自然对数和平均短期(1年)历史收益率对股票组合收益率的解释能力达到76.2％。因此,在上海A股市场,CAPM失去了有效性,资产定价可以由多因素模型决定。This paper studies the relationship between the return and some factors of portfolios, based on the weekly returns of 417 A-shares traded in Shanghai Security Exchange from February 18th, 2000 to June 8th, 2001.The paper establishes 9 single-factor models and 6 four-factor models.The results show that it is very difficult to explain the portfolios' return by 6 risk-metric indices, however, the natural logarithm of average circulated market equity and the average of short-term (one year) historical return rate are able to explain 76.2 percent of portfolios' return.Therefore, the paper suggests that CAPM is ineffective and the asset pricing depends on multi-factor model in Shanghai A-share market.

关 键 词：资产定价 多因素模型 股市 资本资产定价模型 收益率 中国 

分 类 号：F832.5[经济管理—金融学]