中国股票市场三因素模型的实证分析

摘要

In this study I conduct an empirical study to confirm whether there exist size effect, book-to-market equity effect; and Fama and French three-factor model can explain rates of return on Chinese stocks, by using A-share all listed companies on Shanghai and Shenzhen stock exchange from July 1995 to June 2010. The empirical results shows: (1) there exists significant Size effect and Book-to-Market effect in Chinese stock market; (2) Fama and French three-factor model can explain the cross-sectional variation of stock returns on Chinese stocks.%　　本文以1995年7月-2010年6月沪深两市所有 A 股上市公司为样本，对我国市场是否存在规模效应，账面市值比效应(BE/ME)及 Fama 和 French 三因素模型是否能解释股票收益率的变动进行了实证分析。实证研究的结果证实：（1）我国股市存在着显著的规模效应和账面对市值比效应，（2）Fama 和 French 三因素模型能够很好地解释我国股票收益率的横截面变动情况。