中国股市的公司质量因子研究

Quality Effects: Evidence from Chinese Stock Market

本文基于中国A股市场,研究公司质量因子在股票定价中的作用。本文以戈登股利增长模型为出发点,从盈利性、成长性、安全性和股利分配四个方面定义中国市场中A股上市公司的"质量"。计算每只股票的"质量评分",研究质量评分对股票相对价格和收益率的影响,并通过做多高质量股票,做空低质量股票得到QMJ(quality minus junk)质量因子。实证发现:在A股市场中,高质量的股票相对价格和风险调整后的收益更高; QMJ组合可以获得显著的风险调整后的收益,且不受市场波动的影响;在控制QMJ因子后,规模效应显著增强。本文还根据股权分置改革将样本分为前后两个子区间进行稳健性检验,结果显示实证结论均可通过稳健性检验。

This paper studies the effect of quality factor in asset pricing based on Chinese A stock market. Derived from Gordon’s growth model,we measure the quality of a listed stock by its profitability,safety,growth and dividend payout. This paper calculates "Quality Score"for each stock and examines how the Quality Score affects its price and return. This paper further constructs a QMJ( Quality Minus Junk) portfolio that goes long quality stocks and shorts junk stocks. The empirical results show that the stocks with higher quality score have higher relative prices and risk-adjusted returns;QMJ portfolio earns significant risk-adjusted return and is unaffected by market fluctuation;controlling for the QMJ factor,the size effect is significantly enhanced. For the robustness test,we also divide the samples into two subsamples according to the Non-Tradable Shares Reform,and empirical results are still robust.