Fama五因子模型在中国证券市场有效性检验及改进研究
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摘要
自CAPM模型提出以来,资产定价理论一直在发展和完善,试图更好地解释资产组合的超额收益。Fama-French五因子模型作为最前沿的定价理论,其在中国市场的有效性有待验证。使用2000年至2018年上市公司股票月度数据作为样本,利用GRS检验考察五因子模型在我国证券市场适用性,发现五因子定价模型在相比于同类资产定价模型确实提高了超额收益率的解释能力,但并不完美。结合前人研究,基于企业经营净现值原则对投资因子CMA进行了重构和改进,进一步地提高了五因子模型对超额收益的解释力度。
Since the CAPM model was put forward, asset pricing theory has been developing and perfecting, trying to better explain the excess return of assets. Fama-French five-factor model is the most advanced pricing theory. Its effectiveness in China's market needs to be verified. This paper uses monthly stock data of listed companies from 2000 to 2018 as samples and uses GRS test to examine the applicability of the five-factor model in China's securities market. It is found that the five-factor pricing model indeed improves the explanation of excess return compared with other asset pricing model but it is not perfect. This paper reconstructs and adjusts the investment factor CMA based on the principle of net present value of enterprise operation, and further improves the explanatory power of the five-factor model to excess return.
Since the CAPM model was put forward, asset pricing theory has been developing and perfecting, trying to better explain the excess return of assets. Fama-French five-factor model is the most advanced pricing theory. Its effectiveness in China's market needs to be verified. This paper uses monthly stock data of listed companies from 2000 to 2018 as samples and uses GRS test to examine the applicability of the five-factor model in China's securities market. It is found that the five-factor pricing model indeed improves the explanation of excess return compared with other asset pricing model but it is not perfect. This paper reconstructs and adjusts the investment factor CMA based on the principle of net present value of enterprise operation, and further improves the explanatory power of the five-factor model to excess return.
引文
[1] SHARPE, WILLIAM F. On Capital Asset Prices:Reply.[J].Journal of Finance,1965, 20(1):94-95.
[2] JOHN LINTNER. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets.[J]Stochastic Optimization Models in Finance,1975,51(2):131-155.
[3] BASU S. Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios:A Test of the Efficient MarketHypothesis.[J]JournalofFinance,1977,32(3):663-682.
[4] BANZ, ROLF W. The relationship between return and market value of common stocks.[J]. Journal of Financial Economics,1981,9(1)3-18.
[5] JEGADEESH, NARASIMHAN. Evidence of Predictable Behavior of Security Returns.[J].Journal of Finance,1990,45(3):881-898.
[6] FAMA, EUGENE F, KENNETH R. French. The cross‐section of expected stock returns.[J]. the Journal of Finance,1992,47(2):427-465.
[7] FAMA, EUGENE F, KENNETH R. French. Common risk factors in the returns on stocks and bonds.[J]. Journal of financial economics,1993,33(1):3-56.
[8] FAMA, EUGENE F, KENNETH R. French. Multifactor explanations of asset pricing anomalies.[J]. The journal of finance,1996,51(1):55-84.
[9] FAMA, EUGENE F, KENNETH R. French. Industry costs of equity.[J].Journaloffinancialeconomics,1997,43(2):153-193.
[10] CARHART, MARK M. On persistence in mutual fund performance.[J]. The Journal of finance,1997, 52(1):57-82.
[11] AVRAMOV, DORON, TARUN C. Asset pricing models and financial market anomalies.[J].The Review of Financial Studies,2006,19(3):1001-1040.
[12] MILLER, MERTON H, FRANCO M. Dividend policy,growth, and the valuation of shares.[J].the Journal of Business,1961,34(4):411-433.
[13] NOVY-MARX, ROBERT. The other side of value:The gross profitability premium.[J]. Journal of Financial Economics,2013,108(1):1-28.
[14] AHARONI G, BRUCE, QI. Stock returns and the Miller Modigliani valuation formula:Revisiting the Fama French analysis.[J]. Journal of Financial Economics,2013,110(2):347-357.
[15] FAMA, EUGENE F, FRENCH K R. A five-factor asset pricing model.[J].Journal of Financial Economics,2015,116(1):1-22.
[16] FAMA, EUGENE F, FRENCH K R. International tests of a five-factor asset pricing mode.[J]. Journal of Financial Economics, 2016, 123(3).
[17]黄惠平,彭博.市场估值与价值投资策略:基于中国证券市场的经验研究[J].会计研究,2010(10):40-46+96.
[18]宋光辉,董永琦,陈杨炀,许林.中国股票市场流动性与动量效应:基于Fama-French五因子模型的进一步研究[J].金融经济学研究,2017,32(1):36-50.
[19]赵胜民,闫红蕾,张凯.Fama-French五因子模型比三因子模型更胜一筹吗:来自中国A股市场的经验证据[J].南开经济研究,2016(2):41-59.
[20] CHEN L, ZHANG L. Neoclassical Factors[J].“Social Science Electronic Publishing”, 2007, 10(4):303-329.
[21] GIBBONS M R, ROSS S A, SHANKEN J. A Test of the Efficiency of a Given Portfolio[J]. Econometrica, 1989, 57(5):1121-1152.
[22]李志冰,杨光艺,冯永昌,等.Fama-French五因子模型在中国股票市场的实证检验[J].金融研究,2017(6):191-206.
[2] JOHN LINTNER. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets.[J]Stochastic Optimization Models in Finance,1975,51(2):131-155.
[3] BASU S. Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios:A Test of the Efficient MarketHypothesis.[J]JournalofFinance,1977,32(3):663-682.
[4] BANZ, ROLF W. The relationship between return and market value of common stocks.[J]. Journal of Financial Economics,1981,9(1)3-18.
[5] JEGADEESH, NARASIMHAN. Evidence of Predictable Behavior of Security Returns.[J].Journal of Finance,1990,45(3):881-898.
[6] FAMA, EUGENE F, KENNETH R. French. The cross‐section of expected stock returns.[J]. the Journal of Finance,1992,47(2):427-465.
[7] FAMA, EUGENE F, KENNETH R. French. Common risk factors in the returns on stocks and bonds.[J]. Journal of financial economics,1993,33(1):3-56.
[8] FAMA, EUGENE F, KENNETH R. French. Multifactor explanations of asset pricing anomalies.[J]. The journal of finance,1996,51(1):55-84.
[9] FAMA, EUGENE F, KENNETH R. French. Industry costs of equity.[J].Journaloffinancialeconomics,1997,43(2):153-193.
[10] CARHART, MARK M. On persistence in mutual fund performance.[J]. The Journal of finance,1997, 52(1):57-82.
[11] AVRAMOV, DORON, TARUN C. Asset pricing models and financial market anomalies.[J].The Review of Financial Studies,2006,19(3):1001-1040.
[12] MILLER, MERTON H, FRANCO M. Dividend policy,growth, and the valuation of shares.[J].the Journal of Business,1961,34(4):411-433.
[13] NOVY-MARX, ROBERT. The other side of value:The gross profitability premium.[J]. Journal of Financial Economics,2013,108(1):1-28.
[14] AHARONI G, BRUCE, QI. Stock returns and the Miller Modigliani valuation formula:Revisiting the Fama French analysis.[J]. Journal of Financial Economics,2013,110(2):347-357.
[15] FAMA, EUGENE F, FRENCH K R. A five-factor asset pricing model.[J].Journal of Financial Economics,2015,116(1):1-22.
[16] FAMA, EUGENE F, FRENCH K R. International tests of a five-factor asset pricing mode.[J]. Journal of Financial Economics, 2016, 123(3).
[17]黄惠平,彭博.市场估值与价值投资策略:基于中国证券市场的经验研究[J].会计研究,2010(10):40-46+96.
[18]宋光辉,董永琦,陈杨炀,许林.中国股票市场流动性与动量效应:基于Fama-French五因子模型的进一步研究[J].金融经济学研究,2017,32(1):36-50.
[19]赵胜民,闫红蕾,张凯.Fama-French五因子模型比三因子模型更胜一筹吗:来自中国A股市场的经验证据[J].南开经济研究,2016(2):41-59.
[20] CHEN L, ZHANG L. Neoclassical Factors[J].“Social Science Electronic Publishing”, 2007, 10(4):303-329.
[21] GIBBONS M R, ROSS S A, SHANKEN J. A Test of the Efficiency of a Given Portfolio[J]. Econometrica, 1989, 57(5):1121-1152.
[22]李志冰,杨光艺,冯永昌,等.Fama-French五因子模型在中国股票市场的实证检验[J].金融研究,2017(6):191-206.