规模溢价、价值溢价与动量溢价的地区差异——基于沪深A股1997-2014年月度收益率数据

Regional Heterogeneity of Size,Value and Momentum Premium——Based on the Monthly Data of Shanghai and Shenzhen A-shares from 1997 to 2014

学界对于规模溢价、价值溢价与动量溢价的研究颇丰,但尚未考虑三者在不同地区间的差异。剖析三者表现出的地区异质性特征,有助于投资者优化其投资策略,获取超额收益。基于1997年1月至2014年12月的沪深A股月度数据,比较分析CAPM、Fama-French三因子模型和Carhart四因子模型在我国东中西部三大经济带的不同表现,以此揭示股票平均收益率中的规模溢价、价值溢价与动量溢价所具有的地区差异。得出的主要结论为:规模溢价、价值溢价与动量溢价在东部最显著,中部次之,西部最弱。相比于局部地区因子,全市场因子对东中西部地区股票平均收益率的解释能力更强,这一结论在规模-账面市值比组合中和规模-动量组合中一致。

There are many papers about size,value and momentum premium,but none considers regional heterogeneity. Analyzing regional heterogeneity of size,value and momentum premium can be conducive to optimizing investment strategies and obtaining excess returns. Based on the monthly data of Shanghai and Shenzhen A- shares from January 1997 to December 2014,we compare the performance of CAPM,Fama- French three- factor model and Carhart four- factor model in our country’s three major economic belts in order to find out the regional heterogeneity of size,value and momentum premium in stock returns. The main conclusions are: the eastern has the most significant size,value and momentum premium,while these premiums are weakest in the western. For three regions,local asset pricing models that use entire regional factors are superior to that that uses local regional factors and this conclusion is similar between size- B / M portfolios and size- momentum portfolios.