基于资产定价模型的我国A股市场“不良”因子风险溢价研究

Research on the Risk Premium of"NPL"Factor in China's A-share Market based on Asset Pricing Model

探索我国A股市场的风险因子,对提升我国金融市场资产配置效率以增强服务实体经济进而推动我国经济高质量发展具有重大意义。目前已被学界验证的主流因子包括市场因子、规模因子、价值因子等等。近年受疫情影响不少企业积累了较高程度的不良资产,因此本研究区别已有研究,实证检验“不良”因子在我国证券市场的解释力度,进而拓展资产定价理论研究并为目前后疫情时代投资者、监管者以及较高程度不良资产企业提供相应现实建议。

Exploring the risk factors in China's A-share market is of great significance for improving the efficiency of asset allocation in the financial market,enhancing service to the real economy,and promoting high-quality development of the economy.The mainstream factors that have been validated by the academic community currently include market factors,scale factors,value factors,and so on.In recent years,many enterprises have accumulated a high degree of non-performing assets due to the impact of the epidemic.Therefore,this study distinguishes existing research and empirically tests the explanatory power of the"non-performing"factor in China's securities market,thereby expanding asset pricing theory research and providing corresponding practical suggestions for investors,regulators,and enterprises with higher levels of non-performing assets in the current post epidemic era.