本文较为详细地介绍了Fama因素模型的分组规则和研究方法,以沪市A股上市公司为样本,划分特定时期,分别研究了股票价格上涨和衰退时期Fama-French三因素模型在解释股票收益率变动方面的适用性问题。研究发现,股市衰退时,该模型的拟合性最好,但价值因子(HML)没有显著解释力,而剔除价值因子后的因素模型也能较好地解释股票收益率的变动,说明股市衰退时不存在价值效应。同时,在公司平均规模较大的市场,该模型能更好地解释股票的收益情况。 This paper introduces the grouping rules and research methods of Fama factor model in more detail. Taking Shanghai A-share listed companies as sample, this paper studies the stock price rising and recession period Fama-French three-factor model in explaining stock return Applicability of the issue of change. The study finds that when the stock market declines, the model has the best fit, but the HML has no significant explanatory power, and the factor model after eliminating the value factor can better explain the change of the stock return, indicating that the stock market is declining There is no value effect. At the same time, the model provides a better explanation of the return on equity in markets where the average company size is large.