摘要
根据上海股票市场从1995年7月到2000年6月所有A股股票的月收益率、价格、市值和公司财务数据,利用Fama＿Macbeth回归分析方法及构造动态组合方法,分析总市值、流通市值、价格、账面市值比、市盈率、账面资产负债比等因素对股票回报率的影响.发现上海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.这些效应不能用股票的beta值来解释.同时发现Fama＿French的三因子模型不能完全解释这些效应,但在三因子模型的基础上再加上一个市盈率因子可以很好地解释这些效应.
With the monthly stock returns data, price data, market value data, and corporate financial data from July 1995 to June 2000 in the Shanghai Stock Exchange, by using FamaMacbeth regression and dynamic portfolio approach, many factors are studied to determine if they have effects on average stock returns. The size effect, booktomarket effect, E/P ratio effect, and price effect are found to be obvious in the SSE. It is also found that these factor effects have close correlations, beta values can not explain these effects, and threefactor model of FamaFrench's can't explain these effects also. But an E/P ratio factor added to the threefactor model can explain these effects quite well.
出处
《管理科学学报》
CSSCI
2003年第1期60-67,共8页
Journal of Management Sciences in China
