本文聚焦于我国上证A股市场,以2013年1月至2023年12月的数据为基础,对CAPM模型以及Fama-French三因子模型在A股市场的适用状况展开实证研究。研究发现,在CAPM模型中市场风险溢价系数显著,但其仅能解释个股超额收益变动的13.08%;而同时,...本文聚焦于我国上证A股市场,以2013年1月至2023年12月的数据为基础,对CAPM模型以及Fama-French三因子模型在A股市场的适用状况展开实证研究。研究发现,在CAPM模型中市场风险溢价系数显著,但其仅能解释个股超额收益变动的13.08%;而同时,在三因子模型中三个指标,分别是市场风险溢价、规模与价值因子,它们的系数均显著,能解释65.4%的个股超额收益变动。结果表明,虽CAPM模型有一定理论基础,但Fama-French三因子模型因因子结构丰富和拟合优度高,在解释资产收益率方面更优。不过二者在金融研究中均重要,未来可结合其他因素或改进模型结构提升解释和预测能力,为投资决策提供依据。This paper focuses on China’s Shanghai A-share market and conducts an empirical study on the applicability of the CAPM model and the Fama-French three-factor model in the A-share market, based on data from January 2013 to December 2023. The research finds that the market risk premium coefficient of the CAPM model is significant, but it can only explain 13.08% of the variation in individual stock excess returns. In contrast, for the Fama-French three-factor model, the coefficients of market risk premium, size, and value factors are all significant and can explain 65.4% of the variation in individual stock excess returns. The results show that although the CAPM model has a certain theoretical basis, the Fama-French three-factor model is better at explaining the asset return rate due to its rich factor structure and high goodness of fit. However, both models are important in financial research. In the future, other factors can be combined or the model structure can be improved to enhance the ability of explanation and prediction and provide a basis for investment decisions.展开更多
建立Engle（2002）提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02-2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.（1995）提出的条件检验,并且探讨了非系...建立Engle（2002）提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02-2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.（1995）提出的条件检验,并且探讨了非系统风险、总风险在资产定价中的作用。研究结果表明,Beta与收益间不存在传统的无条件相关关系;部分行业指数的Beta系数与收益符合条件相关关系：当超额市场收益大于0（上市场）时,Beta和收益正相关;当超额市场收益小于0（下市场）时,Beta与收益负相关。但对大多数指数而言,Beta与收益仅在下市场时呈显著的负相关关系。同时非系统风险以及总风险均得到了补偿,表明深圳股市的投资者并没有充分分散化其投资,政府应大力发展机构投资者。展开更多
文摘本文聚焦于我国上证A股市场,以2013年1月至2023年12月的数据为基础,对CAPM模型以及Fama-French三因子模型在A股市场的适用状况展开实证研究。研究发现,在CAPM模型中市场风险溢价系数显著,但其仅能解释个股超额收益变动的13.08%;而同时,在三因子模型中三个指标,分别是市场风险溢价、规模与价值因子,它们的系数均显著,能解释65.4%的个股超额收益变动。结果表明,虽CAPM模型有一定理论基础,但Fama-French三因子模型因因子结构丰富和拟合优度高,在解释资产收益率方面更优。不过二者在金融研究中均重要,未来可结合其他因素或改进模型结构提升解释和预测能力,为投资决策提供依据。This paper focuses on China’s Shanghai A-share market and conducts an empirical study on the applicability of the CAPM model and the Fama-French three-factor model in the A-share market, based on data from January 2013 to December 2023. The research finds that the market risk premium coefficient of the CAPM model is significant, but it can only explain 13.08% of the variation in individual stock excess returns. In contrast, for the Fama-French three-factor model, the coefficients of market risk premium, size, and value factors are all significant and can explain 65.4% of the variation in individual stock excess returns. The results show that although the CAPM model has a certain theoretical basis, the Fama-French three-factor model is better at explaining the asset return rate due to its rich factor structure and high goodness of fit. However, both models are important in financial research. In the future, other factors can be combined or the model structure can be improved to enhance the ability of explanation and prediction and provide a basis for investment decisions.
文摘建立Engle（2002）提出的动态条件相关多元GARCH模型计算深圳股市诸行业指数2001/07/02-2005/07/15期间的时变Beta系数,进而对系统风险Beta系数与收益的关系进行传统的检验和由Pettengill et al.（1995）提出的条件检验,并且探讨了非系统风险、总风险在资产定价中的作用。研究结果表明,Beta与收益间不存在传统的无条件相关关系;部分行业指数的Beta系数与收益符合条件相关关系：当超额市场收益大于0（上市场）时,Beta和收益正相关;当超额市场收益小于0（下市场）时,Beta与收益负相关。但对大多数指数而言,Beta与收益仅在下市场时呈显著的负相关关系。同时非系统风险以及总风险均得到了补偿,表明深圳股市的投资者并没有充分分散化其投资,政府应大力发展机构投资者。
