资产的理性定价模型和非理性定价模型的比较研究——基于中国股市的实证分析

本文以 1 995年 2月— 2 0 0 2年 6月深沪两市A股上市公司为样本 ,考察和对比三个定价模型———CAPM、三因素模型和特征模型。实证研究发现 :(1 )中国股市存在显著的“账面市值比效应”(BMEffect)和“规模效应”(SIZEEffect) ,但对于小公司则不存在“1月份效应” ;(2 )三因素模型比CAPM能更好地描述股票横截面收益的变化 ;(3 )基于“股票横截面收益是由公司特征决定”的非理性定价理论的特征模型不成立 ,而基于“股票横截面收益是由风险因素决定”的理性定价理论的三因素模型成立。这些发现说明 ,账面市值比和公司规模这二个变量代表的是一种“风险因素” ,并非“特征因素” ,因此中国股票横截面收益的变化取决于风险因素 ,而非特征因素。作者认为 ,导致上述结果的主要原因是中国股市长期的同涨同跌特征。

A Comparative Study on the Rational Asset Pricing Model and Irrational Asset Pricing Model: Evidence from Stock Market in China

In this paper, the authors examine and compare three asset pricing models—CAPM、Three-factor Model and Characteristic Model, by sampling A-share listed firms from the Shanghai and Shenzhen Stock Exchanges for the period from February 1995 to June 2002. The empirical results show that: (1) there exists significant “Book-to-Market Effect” and “SIZE Effect”, but no “January Effect” for the small firms; (2) the three-factor model is able to explain the cross-sectional variation in stock returns better than CAPM; (3) the results reject the irrational asset pricing model——the Characteristic Model, but support the rational asset pricing model——Three-factor Model, it is the risk factor rather than the characteristic determining the cross-section of stock returns in China. These findings show BM and SIZE stand for risk factors, rather than characteristics, so the cross-sectional variation in stock returns is determined by risk factors, rather than characteristics. The authors suggest that the results above can be explained by a long-run co-moving trend of all stocks in China.