中国股票市场风险因素的相关性研究

On the pertinence relation among the risky factors in the equity market of China

近年来国外关于资本资产定价模型(CAPM)的实证研究不断对该模型提出严厉的质疑,其中很多研究认为除了贝塔系数外,市值size、账面市值比be/me、市盈率p/e这三个风险因素都对股票的收益率具有一定的解释能力。然而这些风险因素能否独立地解释股票的收益率还没有定论。就因素本身来说,size与p/e之间存在较强的相关性,而be/me与其余两因素之间几乎不存在相关性。就因素对投资组合收益率的解释能力来说,p/e几乎不具有独立的解释能力,size的独立解释能力最强,而be/me在较大公司中有一定的独立解释能力。

In recent years, some researchers have doubted the capital asset pricing model through their empirical studies. Some scholars think that size, book-to-market ratios and price-earning ratios are explanatory to the equity yield as well as the Beta coefficient. The question is whether these three factors can account for the yield independently. This paper aims at the deep research into their pertinence relation and independent capabilities to explain.