| 中国证券市场的三因素模型分析 |
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| 引用本文： | 仪垂林,黄兴旺,王能民,杨彤.中国证券市场的三因素模型分析[J].南京财经大学学报,2001(5). |
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| 作者姓名： | 仪垂林 黄兴旺 王能民 杨彤 |
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| 作者单位： | 南京经济学院金融学系 江苏南京210003
(仪垂林)，西安交通大学管理学院 陕西西安710049
(黄兴旺，王能民)，西安理工大学工商学院 陕西西安710048(杨彤) |
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| 摘 要： | 由法码和佛伦奇提出的三因素模型被认为比传统的资本资产定价模型更好地描述了横截面股票价格行为，该模型认为除市场风险外，与规模和帐面市场权益相关的两个其它的基本风险在股票定价中起到了重要作用。基于这个模型，我们分析了我国证券市场的资产定价问题。结论认为，三因素模型在我国不能成立，而且，一个包括市场风险和与规模相关的其它风险因素的三因素模型较好描述了横截面股票价格行为。
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| 关 键 词： | 证券理论 资产定价 三因素模型 |
Analysis of Three Factors Model in Chinese Stock Market |
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| YI Chuilin,HUANG Xingwang,WANG Nengmin,YANG Tong.Analysis of Three Factors Model in Chinese Stock Market[J].Journal of Nanjing University of Finance and Economics,2001(5). |
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| Authors: | YI Chuilin HUANG Xingwang WANG Nengmin YANG Tong |
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| Abstract: | The three - factor model, established by Fama and French, suggests two system risk factors related to size and book-market equity play an important role in stock pricing besides market risk. The model is considered to describe cross-sec- tional stock price behavior better than traditional CAPM. Based on this model, in this paper we discuss asset-pricing problem in Chinese stock market. We find that the three-factor model is unsuitable for Chinese security market instead. A two-factor mod- el, which includes market risk factor and other system risk factor related size, captures cress-sectional stock price behavior. |
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| Keywords: | security theory asset pricing three-factor model |
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