中国股票市场动态三因素资产定价模型分析_赵华.pdfVIP

山西财 经大 学 学报 2010 年3 月 Joumal of Shanxi Finance and Economics University Mar. ，2010 第32 卷第3 期 Vol.32 No.3 金融·投资 中国股票市场动态三因素资产定价模型分析 赵 华，吕 雯 （厦门大学经济学院，福建厦门361005） ［摘 要］运用MGARCH-M 模型研究了市场、规模和账面市值比等因素对股票动态风险溢价的影响，结果发现，市场因 素对组合的风险溢价具有显著的解释力，规模因素对动态风险溢价的解释强于市场因素，账面市值比因素的解释能力最弱。 并且发现，风险溢价随着时间的变化而表现出动态特征，不同组合的风险溢价有较大差异。股权分置改革以后，股市价格发 现的功能进一步增强，风险溢价和时变β 系数的变化对构建投资组合和进行资产管理具有指导意义。 ［关键词］风险溢价； 资产定价； 三因素模型；MGARCH-M 模型 ［中图分类号］F832.5 ；F224.0 [文献标识码] A [文章编号] 1007- 9556 （2010）03- 0030- 08 Empirical Analysis of Dynamic Three-Factor Asset Pricing Models in Chinas Securities Markets ZHAO Hua ，LV Wen （School of Economics ，Xiamen University ，Xiamen 361005 ，China） Abstract: Asset pricing is the core issue of security markets. The article ，through MGARCH-M model，studies the effects of risks of the non-diversifiable market，the firm size and the book-to-market equity factors on time-varying risk premiums. The results show that the effect of the market risk is significant，and the size factor has more effect on risk premiums than the market factor and the book- to market equity factor has least effect on risk premiums. Further ，risk premiums show dynamic features and the risk premiums of different portfolios vary much. After equity division reform，the discovery function of the stock market has been enhanced ，and the changes of the risk premium and time-varying β can play important roles in investment portfolio construction and asset management. Key Words: risk premium；asset pricing；three-factor model；multivariate GARCH-in-mean model 一、文献综述及问题的提出 CAPM 仅仅包括单因素市场β 的影响，