活跃因子和杠杆因子表现分析——基于A股市场的多因子资产定价研究

多因子资产定价理论是继CAPM理论之后的重大创新,也是时下资本资产定价研究领域的最新成果。本文搜集整理多因子资产定价理论的相关文献,分析梳理其发展脉络。通过理论探究,引入以市值增长率为代理变量的活跃因子和以资产负债率来衡量的杠杆因子。基于我国A股市场进行Fama-MacBeth横截面和时间序列的回归检验,发现加入活跃因子和杠杆因子后的八因子模型解释能力可以得到进一步的增强,其中活跃因子的表现显著,而杠杆因子对股票超额收益解释能力相对较弱,但仍强于六因子模型中的风格因子。

How do Active and Leveraged Factors Perform:Multi-factor Asset Pricing Based on A-share Market

Multi-factor asset pricing theory is a major innovation after CAPM theory,which is also the latest achievement in the field of asset pricing.This paper collects the related literatures of multi-factor asset pricing theory and sorts out its development vein.Active factors with market value growth rate as the proxy variable and leverage factors measured by asset-liability ratio are introduced.After the regression test of Fama-MacBeth cross section and time series was conducted based on China's A-share market,we find that the explanatory ability of the eight-factor model can be further enhanced after adding active factors and leverage factors.Especially the performance of active factors is significant.Meanwhile,leverage factor is relatively weak in explaining stock excess return,but it is still stronger than the style factor in the six-factor model.