CAJ | 학술논문

本文以1995年7月-2010年6月沪深两市所有 A 股上市公司为样本,对我国市场是否存在规模效应,账面市值比效应(BE/ME)及 Fama 和 French 三因素模型是否能解释股票收益率的变动进行了实证分析.实证研究的结果证实:(1)我国股市存在着显著的规模效应和账面对市值比效应,(2)Fama 和 French 三因素模型能够很好地解释我国股票收益率的横截面变动情况.
본문이1995년7월-2010년6월호심량시소유 A 고상시공사위양본,대아국시장시부존재규모효응,장면시치비효응(BE/ME)급 Fama 화 French 삼인소모형시부능해석고표수익솔적변동진행료실증분석.실증연구적결과증실:(1)아국고시존재착현저적규모효응화장면대시치비효응,(2)Fama 화 French 삼인소모형능구흔호지해석아국고표수익솔적횡절면변동정황.
In this study I conduct an empirical study to confirm whether there exist size effect, book-to-market equity effect; and Fama and French three-factor model can explain rates of return on Chinese stocks, by using A-share all listed companies on Shanghai and Shenzhen stock exchange from July 1995 to June 2010. The empirical results shows: (1) there exists significant Size effect and Book-to-Market effect in Chinese stock market; (2) Fama and French three-factor model can explain the cross-sectional variation of stock returns on Chinese stocks.