基于Fama-French三因子模型对我国高端装备制造业股票的实证检验  

An Empirical Test of China’s High-End Equipment Manufacturing Stocks Based on the Fama-French Three-Factor Model

作　　者：陈博伦 

机构地区：[1]广东财经大学金融学院,广东 广州

出　　处：《金融》2023年第3期562-568,共7页Finance

摘　　要：基于我国沪深两市22家高端装备制造业股票2015~2021年的月收益率数据,运用Fama-French三因子模型进行实证检验和回归分析,结果表明Fama-French三因子模型能够很好的解释高端装备制造业股票整体收益率。进一步将这22只股票按规模与账面市值比分为六组,实证结果表明六个组合Fama-French三因子模型回归所得的市场风险因子系数值均显著为正,且大部分小于1,说明高端装备制造业系统性风险不高,风险报酬相比市场较小;此外高端装备制造业中存在小盘股效应和账面市值比效应,小盘股的整体收益率要大于大盘股,高账面市值比股票组合整体收益高于低账面市值比股票组合,对于大盘中等账面市值比的高端装备制造业股票组合来说,这两个因素不显著。Based on the monthly return data of 22 high-end equipment manufacturing stocks in Shanghai and Shenzhen stock markets from 2015 to 2021, the Fama-French three-factor model is used for empirical testing and regression analysis. The results show that the Fama-French three-factor model can explain well the overall rate of return of high-end equipment manufacturing stocks. The 22 stocks were further divided into six groups according to the ratio of size and book-to-market value. The empirical results show that the market risk factor coefficient values obtained from the regression of the Fama-French three-factor model for the six combinations are all significantly positive, and most of them are less than 1, indicating that the systemic risk of high-end equipment manufacturing industry is not high, and the risk reward is relatively small compared with the market;in addition, there are small-cap stock effects and book-to-market value ratio effects in the high-end equipment manufacturing industry. The overall return of the portfolio is higher than that of the stock portfolio with a low book-to-market ratio. For the high-end equipment manufacturing stock portfolio with a medium book-to-market ratio in the market, these two factors are not significant.

关 键 词：FAMA-FRENCH三因子模型 高端装备制造业 市场风险因子 账面市值比 规模因子 

分 类 号：F83[经济管理—金融学]