基于价值投资的多因子定价模型在中国资本市场的实证研究

摘要采用2007年1月至2016 年12月的国内A 股月度收益率数据,基于Fama-French的多因子模型研究价值与成长对股票收益率的影响。研究结果表明:我国资本市场还存在投机现象,但以盈利和成长为基础的价值投资依然有效,因此国内资本市场进一步发展就应引导优质公司IPO,提升上市公司质量。本文补充了国内资产定价理论和实证分析,为国内资本市场下一步健康发展和价值投资实践提供参考。

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	干伟明
	张涤新

关键词：环境不确定性企业社会责任债务违约风险公司治理多因子模型资产定价 Fama French 价值投资

Abstract： Employing monthly data of return rates of listed companies in Chinese A-share market between January, 2007 and December, 2016, this paper studies the influence of value and growth on stock returns based on Fama-French Multi-factor Model. Results indicate that there is still speculation in China’s capital market, but value investments based on profitability and growth are still valid. Therefore, China’s capital market should guide high quality companies IPO and improve the quality of listed companies. This paper supplements China’s asset pricing theories and its empirical analysis and also provides reference to the further healthy development and value investment practice of China’s capital market.

Keywords： Environmental Uncertainty Corporate Social Responsibility Debt Default Risk Corporate Governance Multifactor Model Asset Pricing Fama-French Value Investment

收稿日期 2017-03-27; 接受日期 2018-09-19;

基金资助:国家自然科学基金项目(71271108);国家自然科学基金项目(11071113)

作者简介: 干伟明(1977— ),男,江苏南京人,博士研究生,主要从事金融工程研究;张涤新(1954— ),男,江西樟树人,教授,博士生导师,主要从事计量经济学和风险定价研究。

引用本文:

干伟明, 张涤新.基于价值投资的多因子定价模型在中国资本市场的实证研究[J]. 经济经纬, 2018,4: 136-140

GAN Wei-ming, ZHANG Di-xin.An Empirical Study on Multi-Factor Pricing Model in Chinese Capital Market Based on Value Investment[J] Economic Survey, 2018,V35(4): 136-140

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2018/V35/I4/136