尽管多因素定价模型为学术界广泛接受,但其因子有效性源于公司基本面风险差异还是投资者预期差,依然存在分歧。选取账面—市值比B/M测度价值溢价,将其分解为账面—价值比(B/V)和价值—市值比(V/M),研究已有记载的7种风险假说是否能够充...尽管多因素定价模型为学术界广泛接受,但其因子有效性源于公司基本面风险差异还是投资者预期差,依然存在分歧。选取账面—市值比B/M测度价值溢价,将其分解为账面—价值比(B/V)和价值—市值比(V/M),研究已有记载的7种风险假说是否能够充分呈现价值溢价的因果逻辑。结果发现,B/M对预期收益率的解释力与V/M相当,而B/V的差异则不能解释预期收益率差异。进一步地,财务困境风险假说、个股现金流风险假说,既不能一致地解释B/M之间的差异,亦不能解释V/M之间的差异;股权隐含违约风险假说、系统性风险敏感性假说、市场现金流风险假说、营运杠杆风险假说、股权久期风险假说这五类理论,虽可解释B/V的差异,但无法解释V/M的差异。基于线性外推偏差假说和套利风险理论,讨论了V/M在市场上产生和持续存在的原因。研究支持行为金融学中价值溢价成因的预期差假说,对以Fama and French(1993)为代表的多因素模型在中国A股市场上是否可由风险理论所解释提出质疑,由此基于“价值溢价消失之谜”这一前沿学术问题提供了重要参考。展开更多
To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability ...To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability with respect to stock market anomalies,we obtain an anomaly interpretative model.This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum.Most importantly,BM is a critical factor in the model’s explanatory ability.We present a robustness test,which includes selecting new sample data,adding new auxiliary variables,changing sample years,and adding industry fixed effects.In general,the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.展开更多
文摘尽管多因素定价模型为学术界广泛接受,但其因子有效性源于公司基本面风险差异还是投资者预期差,依然存在分歧。选取账面—市值比B/M测度价值溢价,将其分解为账面—价值比(B/V)和价值—市值比(V/M),研究已有记载的7种风险假说是否能够充分呈现价值溢价的因果逻辑。结果发现,B/M对预期收益率的解释力与V/M相当,而B/V的差异则不能解释预期收益率差异。进一步地,财务困境风险假说、个股现金流风险假说,既不能一致地解释B/M之间的差异,亦不能解释V/M之间的差异;股权隐含违约风险假说、系统性风险敏感性假说、市场现金流风险假说、营运杠杆风险假说、股权久期风险假说这五类理论,虽可解释B/V的差异,但无法解释V/M的差异。基于线性外推偏差假说和套利风险理论,讨论了V/M在市场上产生和持续存在的原因。研究支持行为金融学中价值溢价成因的预期差假说,对以Fama and French(1993)为代表的多因素模型在中国A股市场上是否可由风险理论所解释提出质疑,由此基于“价值溢价消失之谜”这一前沿学术问题提供了重要参考。
基金I follow the tutor to do two fund projects which is the National Social Science Fund Project(15BJY164)the Ministry of Education Humanities and Social Sciences Fund Project(14YJA790034),respectively.
文摘To explain medium-term momentum and long-term reversal,we use the difference between the optional model and the CAPM model to construct a winner-loser portfolio.According to the CAPM model’s zero explanatory ability with respect to stock market anomalies,we obtain an anomaly interpretative model.This study shows that this anomaly interpretative model can explain stock market perceptions and medium-term momentum.Most importantly,BM is a critical factor in the model’s explanatory ability.We present a robustness test,which includes selecting new sample data,adding new auxiliary variables,changing sample years,and adding industry fixed effects.In general,the BM effect does have considerable explanatory power in medium-term momentum and long-term reversal.
