摘要
FF模型是资产定价中一个非常经典的模型,其将资本资产定价模型拓展为多因素模型,提高了传统资本资产定价模型的精确度,多年来在美国股票市场中的实证研究结果巩固了其在资产定价理论中的地位。我国学者针对FF模型对我国股票市场进行了一系列的研究,但是研究主要集中在我国股票主板市场。由于创业板市场起步较晚,发展潜力巨大,所以将深圳证券交易所的创业板市场作为研究对象,对比研究传统CAPM模型和FF模型在我国创业板市场的适用性,并且考虑到我国创业板市场不成熟,可能存在流动性溢价,在传统FF模型中添加流动性溢价因子,研究修正的FF模型在我国创业板市场的适用性。结果表明,在FF模型基础上,我国创业板市场流动性溢价不明显,传统的FF模型更适用于创业板市场。
Fama-French model （FF model in short） is a very classic asset pricing models ,which is a multi-factor model and is more precise than the capital asset pricing model. The successful application in the U-nited States of American stock market had made it become a main theory for asset valuation. Chinese schol-ars also conducted a series of researches on FF model for the stock market of China. However,they mainlyfocused on the main board of Chinese stock market. As a new stock market in China,the growth enterprisemarket is a potential market and we pay our attention to the applicability of FF model in GEM.
出处
《甘肃科学学报》
2015年第4期125-129,共5页
Journal of Gansu Sciences
基金
教育部人文社会科学研究青年基金项目(10YJC790128)
