Fama-French五因子模型在中国股票市场的实证检验

Fama-French Five Factor Model in China Stock Market

本文以1994年7月至2015年8月A股上市公司为样本,考察五因子模型在中国股市不同时期的应用。主要结论有:(1)全样本下规模、账面市值比效应显著,经三因子模型调整后盈利能力及投资风格效应仍显著,但不存在显著的动量或反转效应;(2)五因子模型有非常强的解释能力,比CAPM、三因子及Carhart四因子模型表现更好;(3)股改前市场风险占据主导地位,盈利能力、投资风格及动量因子"冗余",股改后这三个因子的风险溢价显著;(4)股改后存在经五因子模型调整后仍显著的反转效应;(5)股改后实际收益率与预期收益率的差异更接近于0,市场趋于"有效"。

This paper focuses on the application of Fama - French five factor model in China stock market, by sampling A -share listed firms for the period from July 1994 to August 2015. Our main conclusions are： （ 1 ） size effect and book - to - market effect are significant, when profitability effect and investment effect remain but neither momentum nor reversal after three - factor adjustment in all ample test; （2） five - factor model performs better than CAPM, three - factor model and Carhart model ; （3） market risk dominates before Split - share structure reform while profitability, investment and momentum factors are redundant, but the latters get priced after the reform; （4） there exists significant reversal effect adjusted by five - factor model after the reform; （5） the difference between realized and expected return is more close to zero after the reform, which means capital market tends to be more effective.