摘要
利用回归和构造动态投资组合方法,对中国股票市场1995年7月到2000年12月股票月收益率、交易额、总市值及其财务数据进行分析,发现中国股票市场具有显著的交易额效应、A股比例效应、市值效应、账面市值比效应等.这些效应有密切的相互关系,但不能用市场beta值来解释.市场beta值、市值因子、账面市值比因子一起,也就是Fama French三因子模型,可以很好地解释这些效应.
With the China stock market data from July 1997 to December 2000, and making use of Fama-French regression and dynamic portfolio approach, obvious effects of trading volume, ratio of A-shares to total shares, size, and book to market value ratio etc, are found in China stock market. The effects have close relations, and can't be explained by the market beta value. But if two other factors, size factor and book-to-market value factor are added, the three-factor model of Fama-French can explain all these effects quite well.
出处
《管理科学学报》
CSSCI
2004年第3期13-22,共10页
Journal of Management Sciences in China
基金
教育部基金资助项目(01JC630008).
