三因子模型在沪深A股市场的实证研究-金融工程管理专业论文.docxVIP

A b A b s tr a c t U ntil now , F am a-F rench three-factor m odelhas been w id ely accep ted in all over th e w orld . T he m o d el is u sed fo r retu rns p red iction , risk m an agem ent, fond p erform ance m easurem ent and so on . C h in a s sto ck m ark et w as b o rn later th an w estern countries fo r hun dred s o f years. S o it is fu ll o f sp ecu lations, in fo rm ation asym m etry, false in form ation and so on, w h ich is n atu ral in d ev elo p in g sto ck m ark ets. S in ce F am a-F ren ch three-facto r m o d el is created b ased o n w estern m atu re sto ck m ark ets, the m o d er s ad ap tion in C h in a s sto ck m ark et is d eb atab le. E arly scho lars had do ne so m e stu dies,bu t th ey g et different resu lts. In th is p ap er, w e em p lo y exp and ed sam p les, w h ich inclu des all listed com pan ies in C h ina s A share stock m ark et(excep t G E M sto cks), and adopt return d ata fro m 19 95 to 2 0 11. In a co nclu sio n , w e p ro v e th at F am a-F rench th ree-factor m o d el is app licab le in the C hina s stock m arket. B esid es, w e get clo se to th e an aly sis o f th e F am a-F ren ch three-F acto rs co efficients. W e find th e fo llo w in g co n clu sio ns: (l)S M B s co e fficient s and H M L s co efficien t h are ran k in g stab le for m u ltip le p erio d s. B u t m ark et facto rs co efficient b is n o t as stab le as S M B s co effic ient s and H M L s co effic ie nt h . (2 )T h e m ark et facto rs co efficient b is m o stly p o sitiv e. S o it is v ery hard to u se m ark et facto r to d iv ersify risk s, sin ce sh o rtin g secu rities are no t easy in C h in a s sto ck m ark et. B u t w e can u se facto rs, S M B an d H M L , to d iv ersify risk s. (3)D aily data is m o re stab le than m o nth ly d ata.(4)Sp ecially fo r th e facto rs, S M B and H M L , in creasin g the nu m b er o f securities in the p o rtfo lio can ad d stab le to facto rs co effi cie nt.(5) In th e ran k ed co efficient