摘要
本文从均值方差张成的角度探讨了多因子定价模型在中国的适用性,并对规模组合能否作为定价因子这一问题进行了实证考察。对沪深两市A股的10个规模组合的均值方差张成检验表明,大、中、小3个规模组合在短期内可以张成所有的规模组合的均值方差边界,这意味着这3个规模组合可以作为定价因子,解释其他风险资产收益率的变动。
From the perspective of mean - variance spanning, this paper examines whether multifactor pricing theory is feasible in China and whether size portfolios can serve as the pricing factors. Evidences from China＇s A share market show that during Sep. 1994-Dec. 2004, three size - sorted portfolios can mimicking all the 10 size - sorted portfolios, which implies that these three size - sorted portfolios can serves as the pricing factors in China＇s A share market.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2005年第11期57-67,共11页
Journal of Quantitative & Technological Economics
