摘要
由于目前针对北京证券交易所资产定价的实证检验研究几乎空白,本文选择使用经典的Fama-French三因子模型来对北交所进行实证检验。考虑到北交所存在流动性不足的特点,构建了流动性因子LIQ,将其与经典Fama-French三因子结合构成新的四因子定价模型,探寻北交所市场中是否存在流动性溢价现象。结论如下:Fama-French三因子模型与添加了流动性因子的四因子模型对北交所市场的股票超额收益率解释力度都有限。但是市场溢价因子依然具有很强的解释能力,是投资者在北交所市场投资时的重要决策依据。而规模因子与价值因子也拥有一定的解释能力,规模因子与价值因子的影响效果与其他成熟市场相反。最后流动性因子也具有一定的解释能力,可影响效果却较为复杂,某些资产组合表现出流动性溢价,而在另外一些资产组合中又出现相反的表现。对于这种新设立的市场,使用资产定价理论对其进行检验,为市场参与者提供理论依据,具有一定的理论与现实意义。
Given the dearth of empirical studies on asset pricing concerning The Beijing Stock Exchange, this paper chooses to empirically examine the Beijing Exchange using the classic Fama-French three-factor model. Considering the limited liquidity in the Beijing Exchange, a liquidity factor (LIQ) was constructed. This factor, combined with the classic Fama-French three factors, forms a new four-factor pricing model to explore the existence of liquidity premiums in the Beijing Exchange market. The conclusions are as follows: Both the Fama-French three-factor model and the four-factor model incorporating the liquidity factor offer incomplete explanatory power for the Beijing Exchange market. However, the market premium factor still exhibits strong explanatory power and serves as an important decision-making criterion for investors in the Beijing Exchange market. Additionally, the size and value factors also possess certain explanatory power. However, the impact of the size and value factors runs contrary to their effects in other mature markets. Finally, the liquidity factor also demonstrates some explanatory power, but its impact is relatively complex. Some asset portfolios exhibit liquidity premiums, while in other portfolios, the opposite behavior is observed. Examining this newly established market using asset pricing theories provides theoretical foundations for market participants, holding significant theoretical and practical significance.
出处
《电子商务评论》
2024年第3期4442-4449,共8页
E-Commerce Letters
