全要素生产率是有效的资本资产定价因子吗?——基于中国股市的Fama-French因子模型检验

Is TFP an Effective Capical Asset Pricing Factor: Fama-French Factor Test Based on Chinese Stock Market

全要素生产率(TFP)是决定微观企业成长和宏观经济增长的重要指标,那么TFP是否为有效的资本资产定价因子。本文以1999-2018年A股上市公司为样本构造TFP因子,并在Fama-French因子模型中检验该命题。结果表明:(1)TFP是一个有效的资本资产定价因子,该结论不受TFP测度方法的影响。(2)中国股市的市值和价值效应明显,但盈利及投资效应不显著,因此Fama-French三因子模型更适用于中国股市。(3)国有企业的TFP因子与收益率之间呈正相关,民营企业则相反,可见是受民营企业样本的影响。本文研究对理解全要素生产率在构建投资组合和获取超额回报方面有重要的借鉴意义。

Total factor productivity(TFP) is an important indicator that determines the growth of enterprises at micro level as well as the whole economy at macro level. Whether TFP is an effective capital asset pricing factor or not is an important question remaining unanswered. This paper uses A-share listed companies from 1999 to 2018 as a sample to construct TFP factors, and test the proposition in the Fama-French factor model.. The results show that: 1) TFP is an effective capital asset pricing factor, which is not affected by the TFP measurement method. 2)The size effect and value effect of Chinese stock market are significant, but the profitability and investment effect are not. Therefore, the Fama-French three-factor model is more suitable for China capital market. 3)The TFP factor of state-owned enterprises is positively correlated with the rate of return, while that of private enterprises demonstrates the opposite effect. It can be seen that the TFP factor measurement is affected by the sample of private enterprises. This paper is of great importance to understand TFP in terms of portfolio construction and excess returns.