A 股市场的风险与特征因子精选.pdfVIP

A 股市场的风险与特征因子 1 潘莉 徐建国 (北京大学国家发展研究院，北京 100871) 摘要：本文研究 A 股回报率的规律，探索构建适用于 A 股市场的因子 模型，这一模型不同于发达市场如美国股市的三因子模型。在系统研究 A 股市场上贝塔系数、股票市值、市盈率、市净率、杠杆率、流通股比 率对回报率的影响后，我们发现股票市值、市盈率对回报率的影响显著， 杠杆率对回报率的影响前期较强，近期减弱，其余因素无显著影响。市 场平均回报率、股票市值和市盈率三个因子可以解释 A 股回报率变化 的 90% 以上。控制了这三个因子以后，其他因素对 A 股回报率无显著 影响。在确立了 A 股市场的三因子模型后，我们进一步考察股票市值 和市盈率是风险因子还是特征因子。证据表明，股票市值背后既有风险 也有特征因素，而市盈率对回报率的影响只与股票特征有关。 关键词：A 股回报率；因子模型；股票市值；市盈率 1 批评与建议请联系徐建国，电子邮件: jgxu@ccer.edu.cn，电话（86）10通 讯地址：北京大学中国经济研究中心，邮政编码：100871。 Risk and Characteristics Factors in China’s A-share Stock Returns Li Pan, Jianguo Xu (National School of Development, Beijing University) Abstract: We study factors affecting cross sectional returns in China’s A-share stock market. After comprehensively examine the performance of beta, size, price-earnings ratio, book-to-market ratio, leverage ratio, and float ratio portfolios, we find robust and significant effect of size, price-earnings ratio on stock returns. Leverage ratio also helps explain stock returns but the effect varies over time periods. The remaining variables do not help explain stock returns. We also find that the aggregate market return, size, and price-to-earnings ratio capture over 90% of the variations in cross sectional stock returns. These three factors differ from the three factors in the U.S. market. Moreover, we find that the size factor has both a risk component and a characteristics component, while the price-to-earnings factor does not represent systematic risks. Keywords: Return; Size; Price-earnings Ratio; Characteristics; Risk JEL: G10, G12, G14