对上证A股股票收益影响因素的实证分析

An Empirical Analysis of Influencing Factors of A Share's Stock Revenue in the Shanghai Stock Exchange

国内许多学者利用中国股票市场的数据对CAPM模型和FAMA模型进行了实证检验,但对于Aion Brav,Reuven Lehavy&Roni Michaeiy在2005年提出修正后的FAMA模型,还鲜有人进行实证检验.为此,选取2004-2005年的国内股票市场数据进行了这一检验,并对模型进行了修正,以克服多重共线性和异方差性.

Many domestic scholars have tested the empirical of both the CAPM and the FAMA models by applying the data of China Stock Exchange. However, there is seldom anyone who examines the revised FAMA model proposed by Aion Bray, Reuven Lehavy ＆ Roni Michaeiy in 2005. Therefore, this essay will inspect it by selecting the data of China Stock Exchange during 2004 and 2005 and revises the model accordingly to overcome muhicollinearity and heteroscedasticity.