Pacific-Basin Finance Journal Volume 43, June 2017, Pages 84–106

利用Fama-French五因子资产定价模型检验中国股票市场

作者：Bin Guo(Nankai University, PR China), Wei Zhang(Tianjin University, PR China), YongjieZhang (Tianjin University, Tianjin, PR China), Han Zhang (Nankai University, Tianjin, PR China)

摘要：我们利用Fama-French五因子模型（2015a）对中国股票市场做了样本外检验。我们发现规模，价值和盈利能力因子对平均收益率具有较强影响，但是投资因子表现较弱。对于所检验的组合，我们发现盈利能力因子显著地提高了平均收益率，然而投资因子仅做了少量贡献。因子生成检测证实了投资因子是多余的，尤其是在中国股票市场07/1995–06/2015 和07/1997–12/2013这两个时段。更重要的是，对于我们检验的大部分组合，五因子模型都通过了Gibbons et al. (1989)提出的GRS检验。

The five-factor asset pricing model tests for the Chinese stock market

Bin Guo(Nankai University, PR China), Wei Zhang(Tianjin University, PR China), YongjieZhang (Tianjin University, Tianjin, PR China), Han Zhang (Nankai University, Tianjin, PR China)

ABSTRACT

We provide out-of-sample tests of the five-factor model introduced by Fama and French (2015a) for the Chinese stock market. We find strong size, value and profitability patterns in average returns, but weak investment pattern. For portfolios we test, we find that the profitability factor significantly improves the description of average return, however, the investment factor makes marginal contributions. Factor spanning tests prove that the investment factor is redundant during 07/1995–06/2015 and 07/1997–12/2013 for the Chinese stock market. More importantly, the five-factor model passes the GRS tests of Gibbons et al. (1989) for most of portfolios we test.

原文链接：http://www.sciencedirect.com/science/article/pii/S0927538X17300744

翻译：阙江静