华侨大学学报（哲学社会科学版）Issue(3)：39-53,15.
FF五因子模型在中国股票市场的改进研究
Research on the Improvement of Fama-French Five-Factor Model in China Stock Market
杜威望 1肖曙光2
作者信息
- 1. 华侨大学经济与金融学院,福建泉州362021
- 2. 广东财经大学经济学院,广东 广州510320
- 折叠
摘要
Abstract
Whether the Fama-French Five-Factor model is applicable in China stock market and how to improve it remains to be studied.Firstly, this paper analyzes the applicability of the Fama-French Five-Factor Model in China stock market and then according to the analytical framework of Fama-French Five-Factor Model constructs the quarterly dynamic invest-ment portfolios to analyze the influential effect and improve the construction method of HML, and finally, gives a compara-tive analysis to the results of the mode , which shows that:(1)the effect of profitability and investment growth in the stock market is significant in China stock market;(2) the book market ratio and the average monthly excess return present a re-lationship of inverted "U" type.The empirical studies show that there is no redundant variable in the HML factor of China stock market, and the excess return of the stock is the highest when the book market ratio is about 0.4232;(3) the im-proved Fama-French Five-Factor Model has the optimal capacity of explanation for the difference of the excess return , the med-term reversal effect and long-term momentum effect in China stock market .关键词
资产定价/Fama-French五因子模型/模型适用性/模型改进/对比分析Key words
asset pricing/Fama-French Five-Factor Model/model applicability/model improvement/comparative analyses分类
管理科学引用本文复制引用
杜威望,肖曙光..FF五因子模型在中国股票市场的改进研究[J].华侨大学学报（哲学社会科学版）,2018,(3):39-53,15.
