摘要
本文在国内外现有研究的基础上,考察沪股通标的股市场的流动性溢价效应、规模效应和价值效应等市场异象,并对我国沪股通市场进行资产定价有效性研究。结果显示:CAPM模型不适合沪股通标的股市场,F-F模型可以解释规模效应和价值效应,而引入流动性因子的F-F扩展模型可以解释规模效应、价值效应及流动性溢价效应,即基于流动性因子的F-F扩展模型可以较好地解释沪股通市场的超额风险溢价现象。同时,研究结果显示沪股通的实施使得内地资本更加开放且有利于投资者回归价值投资。
Based on research at home and abroad,this paper studies the liquidity premium effect,the size and value effects in Shanghai stock market,then studies the effectiveness of Capital Asset Pricing Model,F-F three-Factor model and the extended model in Shanghai stock market.The results showed that;CAPM model is not suitable,the three-Factor F-F model can only explain the size and value effects while the extended F-F model can explain the liquidity premium effect,the size and value effects better in Shanghai stock market better.Besides,the paper find the SH-HK Stock Connect promote to value investing.
出处
《金融发展评论》
2017年第1期140-151,共12页
Financial Development Review
关键词
沪股通
资产定价
流动性风险
F-F三因子模型
the SH-HK Stock Connect
Asset Pricing
Liquidity Risk
F-F Three-factor Model
