CAJ | 학술논문

实证检验了Fama—French三因素模型描述我国A股市场期望超额收益率的解释能力。分别针对上证A股和深证A股做了四类模型的回归分析，为了能够从各类模型的对比中准确地捕捉到各因素影响投资组合期望超额收益率动态特征。结果显示，随着公司规模和账面市值比的变化，市场风险因素的系数变化不大，而规模风险因素的系数和账面市值比风险因素的系数呈现巨大差异，模型的拟合效果表明Fama—French三因素模型在我国A股市场表现出相当高的解释能力。
실증검험료Fama—French삼인소모형묘술아국A고시장기망초액수익솔적해석능력。분별침대상증A고화심증A고주료사류모형적회귀분석，위료능구종각류모형적대비중준학지포착도각인소영향투자조합기망초액수익솔동태특정。결과현시，수착공사규모화장면시치비적변화，시장풍험인소적계수변화불대，이규모풍험인소적계수화장면시치비풍험인소적계수정현거대차이，모형적의합효과표명Fama—French삼인소모형재아국A고시장표현출상당고적해석능력。
This paper tests the effect of the Fama-French three-factor asset pricing models based on Shanghai and Shenzhen stock A share market. We analyze four different models in order to compare the effect of each factor as market value and book value ratio vary. Statistical results show that the coefficients of market excess returns have no significant difference while the coefficients of the market value factor and the book to market ratio factor display great differences. Moreover, the performance for the three factors models based on each group which suggests high explanatory ability of the three-factor model in Chinese A share stock market.