摘要
风格投资在中国越来越受到重视。Fama＆French(1998)指出,在世界范围内,价值型股票比成长型股票具有普遍的较高的收益率。我们采用MorningStar风格分类方法对中国A股市场构造风格投资组合,并就沪深两市分别考察了各风格投资组合的收益率特征,发现在中国市场上,价值股收益率高于成长股收益率的现象仅对沪市小盘股显著;而小盘股超额收益存在于沪市价值型股票和深市价值型、混合型股票。并比较了CAPM和Fama French三因子模型对中国股票市场的解释能力。
Style investment is becoming more and more important in China. As Fama & French (1998) pointed out, value stocks have higher returns than growth stocks in the markets around the world. In this paper, we form portfolios of Chinese A\|share market using style analysis with Morning Star System and investigate the return characteristics of each portfolio of Shanghai and Shenzhen markets respectively. We have found that the value=growth return premium exists only in small stocks of Shanghai market and the firm size effect exists in value stocks of Shanghai market and value and blend stocks of Shenzhen market. We also compare the explanatory ability of CAPM and Fama\|French three\|factor model for Chinese stock market.
出处
《杭州师范学院学报（社会科学版）》
2003年第2期14-19,24,共7页
Journal of Hangzhou Teachers College(Humanities and Social Sciences)
