基于盈利股价比的三因子模型实证研究——来自A股的经验证据

An Empirical Research on Three-factor Model Based on Profitable Share Price Ratio——Empirical Evidence from A-share

基于A股市场的盈利股价比因子,构建中国特有的三因子模型,研究发现A股市场中盈利股价比相较于账面市值比因子具有更好的定价效应。通过Fama-Macbeth检验,实证表明中国的三因子模型相较于Fama-French三因子和五因子模型,极大地提高了A股股票超额收益的解释力度,而且FamaFrench三因子和五因子模型中的账面市值比因子和投资风格因子为冗余因子,因此盈利股价比因子更适用于A股市场。中国三因子模型的研究拓展了A股资产定价的研究方向,进一步为A股的国内外投资者提供价值投资策略的理论指导。

Based on the profitable share price ratio of the A-share market,a three-factor model unique to China is constructed.The study finds that profitable share price ratio compared with book-to-market effect ratio has a better pricing effect in A-share market.Through the Fama-Macbeth test,the empirical evidence shows that China’s three-factor model greatly improves the explanation of the excess returns of A shares compared with the Fama-French three-factor and five-factor models.The book-to-market effect ratio and investment style are redundant factors in the Fama-French three-factor and five-factor models.Therefore,the profitable share price ratio is more applicable to the A-share market.The research on China’s three-factor model expands the research direction of A-share asset pricing,and further provides theoretical guidance on value investment strategies for A-share domestic and foreign investors.