β值和帐面/市值比与股票收益关系的实证研究

Empirical Analysis of Relations of β and BV/MV and Returns of Stock

根据CAPM模型 ,β为通常收益率的解释因素 ,但自 80年代以来 ,这一结论受到挑战。Stattman(1 980 )等人发现帐面 /市值比对股票收益率有很强的解释力。本文运用中国股市 1 995- 1 997年的数据对 β和帐面 /市值比与收益率的关系和对其的解释力进行了实证检验 ,得出的结论是帐面 /市值比比 β对股票收益率有更强的解释力 ,并具体量化了二者的解释力程度。这一研究有助于深化人们对影响股票收益率的因素的认识 ,亦有助于投资者进行投资组合的决策。

According to the CAPM model, βis the only factor for the ordinary return of stock. However, this conclusion has been seriously challenged since 1980's. Stattman (1980) et al found that Book\|to\|Market equity (BV/MV) could explain the stocks' return very satisfactorily.Using the data of China's stock market from 1995 to 1997, this article focuses an empirical research on the relationship between these two factors and the returns of China's stock. We get the conclusion that BV/MV is more robust in explaining the returns of stocks in China, then quantify the explanatory powers of BV/MV andβin this specific period. This research is conducive to bring more in\|depth knowledge in the risk factors that could determine the stocks' return in China, and could help investors to make smart decision in portfolio management.