摘要
基于2005年1月到2013年12月间的深圳股票市场月度交易数据,分别通过账面市值比和收入价格比构造价值因子,引入GRS统计量检验Fama-French三因子模型的表现能力,得出结论:在深圳股票市场中存在显著的反转规模溢价和反转价值溢价,表明规模越大的股票平均收益越高,成长型股票的平均收益高于价值型股票的平均收益;相比于账面市值比,收入价格比是一个衡量价值溢价的更优的指标。这些发现为投资者进行量化投资提供了实证依据。
This paper constructs value factor by book-to-market equity and earnings-price ratio respec- tively and takes GRS statistics to test the performance of three-factor model by using Shenzhen stock market from January, 2005 to December, 2013, then arrived at the following conclusion. In Shenzhen stock market, there are reversal size premium and reversal value premium, which show that average returns increase from smaller to bigger stocks and the average returns of growth stocks are higher than that of value stocks. In addition, Compared to the book-to-market equity, earning-price ratio is a better indicator to measure value premium. These findings may provide empirical evidences for quanti- tative investment.
出处
《湖北工程学院学报》
2015年第4期85-91,共7页
Journal of Hubei Engineering University
