三因素模型对我国金融类股票投资的适用性分析

Applicability Analysis of Three-factor Capital Asset Pricing Model to Chinese Financial Stock Investment

应用CAPM及其扩展模型分析我国近期金融类股票在证券市场的表现,进而选出合适的模型对其进行解释,并根据模型的解释结果提出相应的投资建议。分析结果表明,FF三因素模型能够对近期金融类股票的收益率变化作出较好的解释。同时,根据模型中的β系数、规模因子和价值因子的表现得出以下结论:行情上涨阶段应积极买入券商股和各类投资公司股票,而在行情低迷阶段则应持有银行股;我国金融类股票依然存在"小规模效应",小规模公司往往具有较高收益;小盘价值股具有很大的投资潜力,建议长期持有。

The CAPM model and its extension are used to analyze China＇s recent financial stocks in the stock market,then an appropriate model is chosen to explain it,and the corresponding investment suggestions are also presented.The results show that the FF three-factor model can give a better explanation of the recent financial stock profits.What＇s more,according to the coefficient of beta,scale factor and value factor in the model,the performance reached the following conclusions：at the price rising stage,we should actively buy brokerage stocks and all kinds of investment company stocks,but at the downturn stage,we should hold bank stocks.The＂small size effect＂exists in China＇s financial stocks and small firms tend to have higher profits.Small size valuable stocks have great investment potential,and long-termed holding is suggested.