基于FamaFrench三因子模型的股票收益率实证研究-以上证A股市场股票为例.docVIP

摘 要 现代金融研究，运用解释能力较强的相关资产定价模型来提高对于风险、资产组合收益表现日益成为备受关注的核心课题。其中，在资本资产定价模型（“CAPM”）基础上发展而来的Fama-French三因子模型是相关资产定价模型中应用较为广泛的模型之一。鉴于处在发展进程中的中国证券金融市场正在经历日新月异的变化，本文运用最新的市场实证数据对经济模型在新的市场及时代条件下的实用性进行检验，以期对后来者的研究具有一定的参考意义。 本文主要最小二乘法探究了时间序列下三因子模型在上海证券交易所最新实证数据检验过程中的拟合程度、适用性和解释能力的有效性。为保证实证数据相对充足且具有有效性，研究中涉及的各项变量均选取了自2008年1月至2019年12月上海证券交易所A股主板市场月度数据,并在回归之前对数据进行流通市值加权。 本次研究结果总体上对上海证券交易所实证数据的市场溢酬因素和市值规模因素的影响效应提供有效支撑，但并未佐证本次研究实证数据的价值效应。总体而言，相较于资本资产定价模型（“CAPM”），Fama-French三因子模型再加入了市值因子（“SMBt”）和账面市值比因子（“HMLt”）之后，在拟合优度、解释变量以及截距的回归系数显著性以及异方差等方面检验中表现有明显提升，即Fama-French三因子模型对上海证券交易所A股主板市场超额收益率的解释能力有显著提升，适用度和效率相对显著提高。总体来看，大多数回归检验结果表明该模型在上海证券交易所A股市场具有较好的适用性，但其仍存在一定的调整和改进空间。 关键词：三因子模型资产组合；投资组合；规模效应；价值效应； Abstract In modern financial research, the use of relevant asset pricing models with strong explanatory power to improve the performance of risks and portfolio returns has become a core topic of much concern. Among them, the Fama-French three-factor model developed on the basis of the capital asset pricing model (CAPM) is one of the more widely used models in related asset pricing models. In view of the ever-changing changes in Chinas securities and financial markets in the process of development, this article uses the latest market empirical data to test the practicability of economic models in new markets and times, with a view to the future researchs D. This paper mainly explores the fitting degree, applicability and validity of the three-factor model under time series in the latest empirical data testing process of Shanghai Stock Exchange. In order to ensure that the empirical data is relatively sufficient and valid, all variables involved in the study have selected monthly data from the Shanghai Stock Exchange A-share main board market from January 2008 to December 2019, and circulated the data before returning Market cap weighting. The results of this study generally provide effective support for the effects of market premium factors and market value factors on the empirical data of