摘要
在一般均衡经济框架下,研究企业投资过程中的调整成本对股票收益率的影响,推导出包含市场因子、产出绩效因子、BM因子及调整成本因子的四因子产出-资本资产定价模型。利用中国股市上非金融A股上市公司年报及股价月度数据,考察了我国股市的股票收益率变动。实证研究发现:四因子的资产定价模型能解释中国股市上88%的股票收益变动,显著优于CAPM和Fama&French的三因子模型。
The paper has been studied the effect of adjustment costs on stock return in the equilibrium, the results show that the stock returns are relative to four factors： market portfolio return, firm performance, BM value and adjustment costs. The four-factor production-capital asset pricing model has the best fit to Chinese stock market among CAPM and Fama ＆ French three factor pricing model, which comes from the empirical study with A stock annul data and monthly data from 1997.7 - 2006.6. The model can explain the 88 percents changes of security return in Chinese market.
出处
《管理工程学报》
CSSCI
北大核心
2009年第4期121-132,138,共13页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金资助项目(70471025)
关键词
调整成本
资产定价
比较研究
adjustment costs
asset pricing
comparative study
