预期股票收益的独立因子研究--来自中国A股市场的经验证据

Research on the Independent Factor of Expected Stock Returns——Empirical Evidence from China's A-share Market

基于中国资本市场的特色,以中国A股上市公司为样本,排除受到壳价值“污染”的上市公司,识别能预期中国股票月收益的独立因子。首先,搜集并整理发表于国内外学术期刊上已证实的能解释中国股票横截面收益的20个显著性因子。其次,基于中国资本市场的特殊性,排除受到壳价值“污染”的公司。最后,通过Fama-Macbeth回归方法来避免过度加权小市值股票的问题及运用多重检验的修正p值来判定回归系数显著性,以缓解数据过度拟合的问题。最终,从20个因子中只识别出了4个显著的独立因子,分别是非流动性风险、最大日收益率、1个月换手率、净运营资产收益率。进一步,利用识别出来的4个独立因子构建多空对冲组合能够获得显著的超额收益。研究结论对完善具有中国特色的实证资产定价体系具有一定理论价值,对投资者构建投资策略具有一定实践意义。

Based on the characteristics of the Chinese capital market,this paper identifies independent factors that predict the monthly returns of Chinese stocks by excluding those listed companies that are"contaminated"by shell value,using Chinese A-share companies as a sample.First,we collect 20 significant factors published in domestic and international academic journals that have been proven to explain the cross-sectional returns of Chinese stocks.Second,we exclude companies"contaminated"by shell value based on the specificity of the Chinese capital market.Finally,the Fama-Macbeth regression method is used to avoid the problem of overweighting small-cap stocks and the corrected p-value of the multiple test is used to determine the significance of the regression coefficients in order to mitigate the problem of overfitting the data.Finally this paper identifies only four significant independent factors from the 20 factors,namely,illiquidity risk,maximum daily return,1-month turnover rate,and return on net operating assets.Further,this paper is able to obtain significant excess returns by constructing a long-short hedging portfolio using the four identified independent factors.The research in this paper has important theoretical significance for improving the empirical asset pricing system with Chinese characteristics and practical significance for investors to construct investor strategies.