| 中国股票市场多因素定价模型研究与实证分析 |
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| 引用本文： | 景婷.中国股票市场多因素定价模型研究与实证分析[J].新疆职业大学学报,2011,19(1):31-34. |
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| 作者姓名： | 景婷 |
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| 作者单位： | 北京工商大学经济学院,北京,100037 |
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| 摘 要： | 本文以APT理论为基本架构,提出影响股票收益率的包括成长因子、价值因子、盈利因子、动量因子、风险因子、规模因子的多因素定价模型,并对中国股票市场进行实证分析,得出结论以流通市值、净市值比、换手率、动量、价格波动率、主营业务收入增长率、主营业务利润率、主营业务毛利率、净资产收益、流通股比例、市盈率以及每股公积金比股价为代表的风险因子能够很好的解释股票的超额收益。
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| 关 键 词： | 股票的超额收益 多因素定价模型 横截面回归 风险因子 |
Empirical Study of Multi-factor Pricing Model in Chinese Stock Market |
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| JING Ting.Empirical Study of Multi-factor Pricing Model in Chinese Stock Market[J].Journal of Xinjiang Vocational University,2011,19(1):31-34. |
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| Authors: | JING Ting |
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| Institution: | JING Ting(Economics College,Beijing Industrial and Commercial University,Beijing100037) |
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| Abstract: | This paper uses APT theory to build multi-factor pricing model and carries on the empirical study of China's stock market,including growth factors,the value factor,profit factor,momentum factor,risk factors and the scale factor of the multi-factor pricing model.The result demonstrates that the risk factor representatives we have been chosen is good to explain the stock's excess return. |
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| Keywords: | excess stock return multi-factor pricing model cross-sectional regression risk factor |
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