我国股票定价五因素模型:交易量如何影响股票收益率?

Asset Pricing Model of the Chinese Stock Market:How Trading Volumes Influence the Returns?

Fama-French三因素模型是美国股市定价的实证总结,并不一定适合众多散户热衷投机的我国股市。本文以沪深A股1995至2012年周收益率为样本,研究交易量对股票收益率的影响。在Fama-MacBeth截面回归分析中,我们发现成交额、换手率与股票预期收益率呈显著负相关,且相关性在2004至2012年近期的子样本中更加显著。换手率对股票收益率的影响在小盘股、高β股和前期表现良好的样本中更加显著。时间序列回归表明,交易量风险不能由市场风险、市值、账面市值比和收益率反转效应解释。结合我国股市特征,在Fama-French三因素模型的基础上,本文构建了包含成交额和换手率的五因素定价模型。

The Fama-French three-factor model is based on the American stock markets, which may not be appropriate in China. Employing the data of weekly returns of A-share stocks listed in Shanghai Stock Exchange and Shenzhen Stock Exchange from 1995 to 2012, we investigate how trading volume impacts expected stock returns. In the Fama-MacBeth cross-sectional regressions, we find that the RMB trading volumes and turnover rates are significantly negatively correlated with expected stock returns, which is particularly pronounced in the subsample of 2004-2012. We also find that turnover rates are more Influential in these small-caps, high β stocks, and well-performed stocks. In the time series regressions, we find that the volume premiums cannot be explained by market risks, sizes, book-to-market ratios and short-term reversal effects. Based on Fama-French three-factor model, we contruct a five-factor model which captures the impact of RMB trading volume and turnover rate.