Fama五因子模型在中国证券市场有效性检验及改进研究

Validation and Improvement of Fama Five Factor Model in China Securities Market

自CAPM模型提出以来,资产定价理论一直在发展和完善,试图更好地解释资产组合的超额收益。Fama-French五因子模型作为最前沿的定价理论,其在中国市场的有效性有待验证。使用2000年至2018年上市公司股票月度数据作为样本,利用GRS检验考察五因子模型在我国证券市场适用性,发现五因子定价模型在相比于同类资产定价模型确实提高了超额收益率的解释能力,但并不完美。结合前人研究,基于企业经营净现值原则对投资因子CMA进行了重构和改进,进一步地提高了五因子模型对超额收益的解释力度。

Since the CAPM model was put forward,asset pricing theory has been developing and perfecting,trying to better explain the excess return of assets. Fama-French five-factor model is the most advanced pricing theory. Its effectiveness in China's market needs to be verified. This paper uses monthly stock data of listed companies from 2000 to 2018 as samples and uses GRS test to examine the applicability of the five-factor model in China's securities market. It is found that the five-factor pricing model indeed improves the explanation of excess return compared with other asset pricing model but it is not perfect. This paper reconstructs and adjusts the investment factor CMA based on the principle of net present value of enterprise operation,and further improves the explanatory power of the five-factor model to excess return.