发现基本面价值：基于中国数据的基本面加权指数研究

摘要

Since Arnott and Hsu proposed the fundamental indexation in 2005,studies of the fundamental indices are popular all over the world.However,it is still in its infancy in China.In this paper,based on monthly data of A-share from 2002 to 2014 of Shanghai and Shenzhen Stock Exchange,we build the fundamental indices which significantly outperform their traditional coun-terparts,i.e.,CSI 300 index.They also pass the robustness check with CAPM,three factor model and four factor model.Our main conclusion is that the fundamental index is significantly superior to the performance of the CSI 300 index,and the three factor model has the best explan-atory power.The conclusion of the paper passes the robustness checks,which implies that the fundamental indices have the market vitality in practice.%自 Arnott 和 Hsu 在2005年提出基本面加权指数以来，基本面加权指数的研究结果在世界各主要市场都得到了验证。因我国股票市场规模化的历史相对较短，这一方面的研究也存在一些欠缺。基于2002~2014年沪深股市的全部 A 股数据，通过构建基本面加权指数，将其与沪深300指数进行全面的对比，并用 CAPM、三因子模型、四因子模型对基本面加权指数的收益进行检验。研究发现：基本面加权指数的表现显著优于沪深300指数的表现且结论通过了各项稳健性检验，表明基本面加权指数在我国市场已初步具备实战应用价值。