影响个股收益率的因素分析

FACTORS AFFECTING THE CROSS-SECTIONAL RETURN OF INDIVIDUAL STOCK

本文通过对中国股票市场的实证分析,验证了除个股的β值之外,公司的流通股数量、公司股票的市盈率、个股收益率与市场收益率的相关系数等因素都对个股的收益率有一定的解释作用。由于我国股票市场定价机制不甚完善,这些因素对收益率的解释作用甚至强于β值。但是在这些因素受到有效控制的情况下,β值依然有一定的解释作用,这说明我国股票市场仍然是理性市场。但是,在公司财务、投资估价等领域运用CAPM和ATP理论时必须注意进行相应的修正。

Using the data of Chinese stock market and empirical methods, this paper proves that not only β but also the size, earning per-share and the correlated coefficient of the return of individual stock and the return of market portfolio can explain the cross-sectional variation of return. Because of the inefficiency of the market, these factors are even more powerful than β.When these factors are strictly controlled, β can still explain the cross-sectional expected returns, suggesting that Chinese stock market is still a rational market.