摘要
在国内外现有研究的基础上,本文考察了沪港通以来沪股通股票的市场流动性溢价效应、规模效应和价值效应等市场异象,并对我国沪股通市场进行资产定价有效性研究。结果显示:CAPM模型不适合沪股通市场定价,F-F模型可以解释规模效应和价值效应,而引入流动性因子的F-F扩展模型可以解释规模效应、价值效应及流动性溢价效应,即基于流动性因子的F-F扩展模型可以较好地解释沪股通市场的超额风险溢价现象。同时,研究结果显示沪股通的实施使得内地资本市场更加开放且有利于投资者回归价值投资。
Based on research at home and abroad, this paper studies the liquidity premium effect, the size and value effects in SH Stock Connect market since the SH-HK Stock Connect opened, and explores the effectiveness of asset pricing in SH Stock Connect market. The results show that： CAPM model is not suitable for market pricing of SH Stock Connect, the F-F three-factor model can only explain the size and value effects while the extended F-F model can explain the liquidity premium effect, the size and value effects better in SH Stock Connect market. This means that the extended F-F model based on liquidity factor can better explain the excess risk premium of SH Stock Connect. Besides, the results show that the implementation of SH Stock Connect makes the mainland capital market more open and conducive to the return to value investment.
出处
《金融理论探索》
2016年第6期39-46,共8页
Exploration of Financial Theory
基金
2009年国家社会科学基金项目(09BJL041)
2015年教育部人文社会科学规划基金项目(ZX201510000002)
