摘要
文章以沪深A股2000年至2019年的数据为基础,探究营业收入增长与股票预期截面收益率之间的关系。通过投资组合分析法以及Fama-MacBeth回归分析,使用单变量分组以及二元变量分组控制股票贝塔值、流通市值以及股票账面市值比,发现股票当月营业收入同比去年的增长率与股票的预期横截面收益率呈显著的正相关关系。进一步地,文章在Fama-French三因子模型的基础上加入GMV因子,构建新的四因子模型,并发现其在A股市场的表现要优于FF3和FF5模型。本文对金融异象的研究和投资者在A股市场的投资均有一定意义。
This paper uses data of A-share market from 2000 to 2019 as sample,investigating the relationship between sales growth and expected stock return.By means of portfolio analysis and Fama-MacBeth regression analysis,this essay finds that sales growth is positively related with expected stock return after controlling beta,stock value and book-to-market ratio.What's more,this paper constructs a four factor model based on Fama-French 3-Factor Model,performing better in the A-share stock market than FF3 and FF5 model.
作者
冯国聚
Feng Guoju(School of Finance,Guangdong University of Foreign Studies,Guangzhou 510006,China)
出处
《福建金融管理干部学院学报》
2020年第1期42-49,共8页
Journal of Fujian Institute of Financial Administrators
关键词
营收增长
截面收益率
投资组合分析
Sales Growth
Cross-sectional Returns
Portfolio Analysis