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采用Fama和French的组合设计和因子构造方法,对CAPM单因子、Fama和French三因子、公司特征、流通股比例等对中国股市横截面预期收益的解释能力进行了实证研究,结果发现:1市场Beta不具有解释能力;2账面市值比具有显著的解释能力,而公司规模则始终未表现出解释能力;3账面市值比相关因子载量具有一定的解释能力,而公司规模相关因子载量则始终未表现出解释能力;4流通股比例具有一定的解释能力,特别是与公司规模或其相关因子在一起时,其解释能力尤为显著.
Employing the combination design of Fama and French and the factor construction method, this paper empirically studies the explanatory power of CAPM single factor, Fama and French three factors, company characteristics, the proportion of tradable shares on the expected return of cross-section of Chinese stock market. The result shows that: Beta does not have the ability to explain; 2 book market value has significant ability to explain, while the company size has not demonstrated the ability to explain; 3 book market value than the relevant factor load has a certain ability to explain, and the size of the company scale factor load Did not show the ability to explain; 4 the proportion of tradable shares have a certain ability to explain, especially with the company size or its related factors together, its ability to explain is particularly significant.