FF因子与宏观因子是潜在风险因子的良好代理吗?

Are the Fama-French and macroeconomic factors good proxies for latent risk factors?

Fama-French因子以及宏观经济因子是解释股票收益的重要因素,但是它们是否是真实数据所隐含的不可观测风险因子的客观反映却不得而知.运用Bai等^([1])提出的最新分析方法,基于面板数据的因子模型,对上证A股市场进行风险因子代理合适性的实证研究.结果显示:(1)Fama,French因子可以作为投资组合风险因子的良好代理,但只有MARKET因子可以作为个股风险因子的良好代理,即寻找个股的良好代理比投资组合更为困难.(2)基于工业总产值增长率、通货膨胀率、银行同业拆借利率以及M2增长率构造宏观经济因子,发现单个宏观经济因子和整个宏观经济因子集合都不适合作为投资组合风险因子的代理.

Fama-French factors and macroeconomic factors are important for explaining stock returns.However,it is unknown that whether they can reflect the unobservable risk factors implied by true data.The paper applies the new procedure developed by Bai et al[1]to make an empirical study of the appropriation of the proxy for risk factors on Chinese stock market.According to the analysis,the paper gets the following results:(1) Fama and French factors are good proxies for risk factors of portfolios,while only the MARKET factor is appropriate to proxy for risk factors of individual stock.It is more difficult to find good proxies for individual stocks than the portfolios.(2) Based the industrial output growth,inflation,interbank interest rate and M2 growth,we construct the macroeconomic factors and find that the macroeconomic factors are not appropriate proxies of risk factors of portfolios.