投资热度与财务杠杆对股票超额收益率的影响研究——基于A股市场多因子资产定价模型的实证分析

Research on the influence of investment enthusiasm and financial leverage on excess return rate of listed companies——Empirical analysis based on the multi-factor asset pricing model of a-share market

我国A股市场诞生至今已有30年,对其运行机理和投资收益的研究一直是学界的热点、难点问题。本文研究上市公司的投资热度和财务杠杆对股票超额收益率的影响,基于理论分析构造以市值增长率为代理变量的热度因子和以资产负债率来衡量的杠杆因子,组建八因子模型,基于我国A股市场数据进行分组和整体的回归分析,采用机器学习方法模拟检验,发现新八因子模型解释能力更强;热度因子和杠杆因子对超额收益率分别具有负的和正的影响,表明投资过热的股票对投资者未来收益不利,财务杠杆较低和较高的公司更可能让投资者获利。本文研究阐明了我国证券市场有效性的优势与不足,为当下证券市场改革提供一定的理论依据。

It has been 30 years since the birth of China’s a-share market. The research on its operation mechanism and investment returns has been A hot and difficult issue in the academic circle. This paper studies the investment enthusiasm of listed companies and the influence of financial leverage on the excess return rate of stocks. By theoretical analysis, it establishes the active factor with the market value growth rate as the proxy variable and the leverage factor measured by the medium of asset-liability ratio, and constructs an eight-factor model. After the review and correction of the regression cycle, the empirical analysis was carried out based on the a-share market in China, and the machine learning method was used to simulate the test. The active factor and leverage factor have negative and positive effects on the excess returns respectively. This study can clarify the advantages and disadvantages of the effectiveness of China’s securities market, and provide certain theoretical basis and policy enlightenment for the reform of the securities market.