时变β资产定价模型：个股的研究.pdfVIP

时变资产定价模型的个股检验 时变b资产定价模型：个股研究* 宋鹏 徐剑刚 张晓蓉 （复旦大学管理学院，上海200433 ） 摘 要： 本文基于因子b随公司规模 （市值）、账面市值比而变的动态随机一般均衡模型，提出时变 的条件 资产定价模型，并对风险调整收益进行个股检验。研究发现，时变b 的多因子模型(包括Fama and French 三 因子模型及惯量因子和流动性因子增广的模型)可以解释规模效应和价值效应，但无法解释流动性效应和惯 量效应。规模效应和价值效应体现了因子b对股票截面收益的影响，如果定价模型纳入了随公司规模和账面 市值比而变的真实因子b ，用以调整因子风险收益，那么调整后的收益不再具有规模效应和价值效应。本文 实证结果支持风险定价的理性资产定价理论，即超额收益由风险因子及因子决定。 关键词： 资产定价；个股检验；时变b ；风险调整收益 Abstract : Based on a dynamic stochastic general equilibrium model, this paper models factor betas as a function of size and BM, provides a time-varing beta conditional asset pricing model, and designs cross-sectional regression tests applying to risk adjusted returns of individual stocks. This paper shows that time-varying beta version of multifactor models (including Fama and French three factor model and the liquidity and/or momentum factor augmented models) captures size effect and value effect, but not liquidity effect or momentum effect. Size effect and value effect reflect the impact of factor betas on the cross-section of individual returns. If the true factor betas are modeled as a funcation of size and BM, there is no size effect or value effect in the cross section of risk adjusted returns. The empirical evidence supports rational risk pricing which argues that expected excess returns are determin ed by risk factors and factor betas. Key words : asset pricing; individual stocks, time-varying beta; risk-adjusted return 1 引言 Sharpe(1964)、Lintner(1965) 的资本资产定价模型(CAPM)标志着资产定价理论的诞生， 并广泛应用于资本成本估计和投资组合业绩评价等。CAPM 认为股票预期收益完全是由市 场风险决定，但实证检验却发现盈余市价比效应(Basu, 1977)、规模效应(Banz, 1981)、低价 效应(Miller and Scholes, 1982) 、杠杆效应(Bhandari, 1988) 、价值效应(Stattman, 1980; Rosenberg, Reid and Lanstein, 1985) 、流动性效应(Amihud and Mendelson, 1986)、惯量效应 (Jegadeesh and Titman, 1993