基于贝叶斯检验方法的股票定价模型比较分析——来自中国上市公司的数据证据

Comparative Analysis of Stock Pricing Model Based on Bayesian Test Method--Data Evidence from Chinese Listed Companies

金融资产定价是金融领域历久弥新的研究内容。国内有关中国股市的研究成果,主要集中于多因子模型在中国市场的适用性研究,很少有人关注多个因子模型之间的相互比较分析。本文改进了贝叶斯资产定价模型检验方法,利用1994年1月至2019年1月的中国A股市场数据构建了各个因子,基于贝叶斯检验方法对股票定价模型进行比较分析。研究结果表明:A股市场在10因子集合下的最优模型为CMA、HMLm、ME、MKT、RMW和UMD组成的6因子模型;加入换手率因子之后,最优多因子模型为MKT、FMS、HML、UMD、RMW、CMA和SMB组成的7因子模型;A股市场更偏好于营业利润构建的盈利能力因子。

The pricing of financial assets is a long-standing research content in the financial field.Throughout the domestic research on Chinese stock market,it mainly focuses on the applicability of multi-factor models in the Chinese market.Few people pay attention to the mutual comparison analysis between multiple factor models.This paper improves the Bayesian asset pricing model test method,and uses the Chinese A-share market data from January 1994 to January 2019 to construct various factors.Based on the Bayesian test method,the stock pricing model is compared and analyzed.The results show that the optimal model of the A-share market under the 10-factor set is a 6-factor model consisting of CMA,HMLm,ME,MKT,RMW and UMD.After adding the turnover factor,the optimal multi-factor model is a 7-factor model consisting of MKT,FMS,HML,UMD,RMW,CMA and SMB.The A-share market prefers a profitability factor built on operating profit.