中国股票三因素定价模型再研究

Study on the Three- factor Pricing Model in China's Stock Market

阐述了Fama-French三因素模型的理论基础和实证方法,并检验1995年7月至2015年12月该模型对中国股市的适用性。三因素模型源于ICAPM及APT思想,可采用行为金融学进行解释。实证发现,中国股市资产组合平均收益率仅由市场和规模风险两个因素决定,组合间平均收益率差异源于市场贝塔值和规模系数所衡量的风险不同。中国股市制度缺陷和参与者行为偏差等导致了市场和规模风险高溢价。中国股票资产组合整体平均收益率远高于美国。

This paper describes the theoretical basis and empirical methods of the three - fac- tor model proposed by Fama and French, and tests the applicability of the model in China＇s stock market from July 1995 to December 2015. Three - factor model originated from ICAPM and APT thinking, which can be explained by behavioral finance. Empirical study shows that the average returns of portfolio in China＇s stock market are determined only by the two factors including market and scale risk. The difference among the portfolios is due to the measurement of different risks made by beta value and scale coefficient. The disadvantages in China＇s stock market and the be- havioral biases lead to the high premium of market and scale risks in the market, and the overall average returns of China＇s stock portfolio are much higher than the U. S.