CAJ | 학술논문

鉴于传统方差在金融风险计量中存在的缺陷,本文采用半方差作为风险衡量的重要标准,以账面市值比指标来构建我国A股市场价值股投资组合与成长股投资组合,运用描述性统计、时间序列回归及面板数据模型对价值溢价现象在我国A股市场的存在性及其原因进行实证研究.研究表明：运用半方差方法改进风险衡量标准后的CAPM模型对不同投资组合收益率有更好的解释,价值溢价现象在一定程度上是由于模型设定造成的.
감우전통방차재금융풍험계량중존재적결함,본문채용반방차작위풍험형량적중요표준,이장면시치비지표래구건아국A고시장개치고투자조합여성장고투자조합,운용묘술성통계、시간서렬회귀급면판수거모형대개치일개현상재아국A고시장적존재성급기원인진행실증연구.연구표명：운용반방차방법개진풍험형량표준후적CAPM모형대불동투자조합수익솔유경호적해석,개치일개현상재일정정도상시유우모형설정조성적.
Because of the fault in calculating the financial risk with traditional method, the author uses descriptive statistics, time series regression and panel model to examine the existence and interpretation of value premium in China＇s A-share market. Base on book-to-market ratio, the paper constructs value portfolio and growth portfolio. The results show that under new risk measurement CAPM can give better explanation to the difference in returns between portfolios. The finding also indicates that value premium in A-share market is partly due to model specification.