沪股通标的股定价有效性研究——基于流动性因子的F-F扩展模型

Empirical Study on the Efficiency of Target Stock Pricing in SH-HK Stock Connect Market——Based on the Liquidity Factors of Extended Fama-French Model

本文在国内外现有研究的基础上,考察沪股通标的股市场的流动性溢价效应、规模效应和价值效应等市场异象,并对我国沪股通市场进行资产定价有效性研究。结果显示:CAPM模型不适合沪股通标的股市场,F-F模型可以解释规模效应和价值效应,而引入流动性因子的F-F扩展模型可以解释规模效应、价值效应及流动性溢价效应,即基于流动性因子的F-F扩展模型可以较好地解释沪股通市场的超额风险溢价现象。同时,研究结果显示沪股通的实施使得内地资本更加开放且有利于投资者回归价值投资。

Based on researches at home and abroad ,this paper studied some abnormal phenomenon in Shanghai Stock Market, such as the liquidity premium effect, the size and value effects. Then the author studied the effectiveness of Capital Asset Pricing Model in SH-HK Stock Connect Market. The results showed that： CAPM model is not suitable in target stock pricing in SH-HK Stock Connect Market, the three-Factor F-F model can explain the size and value effects while the extended F-F model with liquidity factors can explain the size effects, value effects and liquidity premium effect, which means the extended F-F model with liquidity factors more efficiently explained the extra risk premium phenomenon in SH-I-IK Stock Connect Market. Meanwhile, the implementation of SH-HK Stock Connect market made the inland capital more open and is beneficial for investors back to value investment.