四因子资产定价模型在中国股市的适用性研究

The Applicability of the Four-factor Asset Pricing Model in Chinese Stock Market

基于沪深A股月度数据,通过分析股票价格的动量效应及反转效应,构造适用于中国股市的四因子资产定价模型,研究发现:加入滞后6个月动量因子的四因子资产定价模型适用于中国股市,该模型相比于Fama-French三因子模型和CAPM具有更高的解释能力,并且这种解释能力随着股权分置改革的完成而得到提升。此外,动量因子在过去表现较差的组合中与股票平均收益率负相关,在过去表现较好的组合中与股票平均收益率正相关,这一结论对采用动量投资策略的投资者具有重要的启示意义。

Based on the monthly data of Shanghai and Shenzhen A - shares and through the analysis of momentum effect and reversal effectthis paper constructs a Four - factor asset pricing model for Chinese stock marketWe find that compared with the Fama - French Three- factor model and CAPM, Four- factor model including momentum factor lagged 6 months applies better to Chinese stock market and is with plausible explanation which improved after the Split Share Structure Reform; In addition, the momentum factor is negatively related to average returns of the stock combinations which had bad performance in the past while is positively correlated with average returns of the stock combinations which had good performance in the past. This conclusion is useful for the investors who used momentum strategy.