FF三因子模型风险因子的有效性检验——基于2001-2011年我国资本市场数据

The Effectiveness of Three Factor Model in The Capital Market of China

FF三因子模型提出后,关于资本资产定价领域中的风险因子的研究从未间断,但是由于研究方法差异,结论却一直未达成统一。本文探究β系数、规模、账面市值比、市盈率倒数、财务杠杆这四个解释变量对于预期收益率的解释作用,并采用沪深两市2001-2011年数据进行大样本实证检验,从而探究衡量我国资本市场风险定价的相关因子。结果表明:规模、账面市值比、市盈率倒数三者对于收益率都是负相关作用,而β系数、财务杠杆则是正相关作用。

Since the establishment of FFmodel,research and studies in this field have never stopped.But they do not come to the same conclusion because of different methods.In China stack market,β.Book-to-market Equity,Size,Eamings-price ratios and Leverage's effects on stocks still need further study.Therefore,using CAPM and Fama-French Three Factor Model,the authors test the prieing effects of β,Book-to-market Equity.Size.Earnings-price ratios and leverage with the statistics of the capital market of China from 2001 to 2011.Empirical evidences show that Book-to-market Equity,Size and Earnings-price ratios have a negative effect on return.whereas there is a positive relation between β.Leverage and return of stocks.