中国股市低价股效应研究——基于Fama & French三因子模型的检验

The Study of the Low-Price-Stock Effects in China's Stock Market——A Verification Based on the Fama & French Three-Factor Model

本文在Fama & French三因子模型框架下检验低价股效应。研究发现,低价股票组合的收益率明显高于高价股票组合,低价股效应的确存在,但该效应会随股价上升而减弱。此外,价格因子的加入使定价模型的预测能力明显提高,利用名义股价代替账面价值比因子后模型解释力达到最优,表明价格因子具有更高的定价能力。

This paper presents a verification of low-price-stock effects based on the Fama and French three-factor model. It＇s found that the yield of the low-price-stock portfolio is significantly higher than that of high-price-stock portfolio, and the low-price-stock effects do exist, but the effects will decline with the rise in stock price. In addition, the price factor included in the pricing model significantly improve the predicting ability of the model, and the explaining ability of the model is optimal if the nominal stock price replaces the factor of the book value ratio, which shows that the price fac- tor has a higher pricing ability.