摘要
通过对中国股票市场从 1995年 7月到 2 0 0 0年 6月所有A股股票月收益率的研究 ,发现股票市场具有显著的市值效应、账面市值比效应、市盈率效应和价格效应 .这些效应不能用市场 β值来解释 ,但再加上两个因子 :市值因子和账面市值比因子 ,可以很好地解释这些效应 .
With the monthly stock returns, prices and corporate financial statements data from July 1995 to June 2000, the size effect, book_to_market effect, E/P ratio effect, and price effect are found to be obvious in China stock market. These effects can not be explained by their market β′s, but if two other factors: size factor and book_to_market factor are added, the three_factor model of Fama_French′s explains the effects quite well in China stock market . The three_factor model can also explain the different behaviors of stock indexes in the China stock market.
出处
《系统工程学报》
CSCD
2002年第6期537-546,共10页
Journal of Systems Engineering
