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本文运用Fama-French三因素模型分别对中国沪深A股市场主板、中小板和创业板的股票收益率进行回归分析,以全面验证中国股市是否存在着公司规模效应和账面市值比效应,综合解释Fama-French三因素模型在我国A股市场的表现及适用性。结果表明,Fama-French三因素模型在我国主板、中小板股票市场具有更好的适用性,在创业板的表现能力较差,公司规模和账面市值比不能对创业板公司的股票收益率进行解释。
This paper uses the Fama-French three-factor model to regression analysis of the stock returns of China’s Shanghai and Shenzhen A-share market, small board and the GEM in order to fully verify the existence of the company scale effect and book-to-market ratio effect in China’s stock market. Fama - French three - factor model in China A - share market performance and applicability. The results show that the Fama-French three-factor model has better applicability in China’s main board and small board stock market, and its ability to perform on the GEM is inferior. The scale and book-to-market ratio of the Fama-French model can not explain the stock return of the GEM companies .