| 中国股票市场动态三因素资产定价模型分析 |
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| 引用本文： | 赵华,吕雯.中国股票市场动态三因素资产定价模型分析[J].山西财经大学学报,2010(3). |
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| 作者姓名： | 赵华 吕雯 |
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| 作者单位： | 厦门大学经济学院; |
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| 基金项目： | 教育部人文社会科学研究基金项目(08JC790089); 中国博士后科学基金项目(20060390712) |
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| 摘 要： | 运用MGARCH-M模型研究了市场、规模和账面市值比等因素对股票动态风险溢价的影响,结果发现,市场因素对组合的风险溢价具有显著的解释力,规模因素对动态风险溢价的解释强于市场因素,账面市值比因素的解释能力最弱。并且发现,风险溢价随着时间的变化而表现出动态特征,不同组合的风险溢价有较大差异。股权分置改革以后,股市价格发现的功能进一步增强,风险溢价和时变β系数的变化对构建投资组合和进行资产管理具有指导意义。
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| 关 键 词： | 风险溢价 资产定价 三因素模型 MGARCH-M模型 |
Empirical Analysis of Dynamic Three-Factor Asset Pricing Models in China's Securities Markets |
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| ZHAO Hua,LV Wen.Empirical Analysis of Dynamic Three-Factor Asset Pricing Models in China's Securities Markets[J].Journal of Shanxi Finance and Economics University,2010(3). |
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| Authors: | ZHAO Hua LV Wen |
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| Institution: | ZHAO Hua,LV Wen (School of Economics,Xiamen University,Xiamen 361005,China) |
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| Abstract: | Asset pricing is the core issue of security markets.The article,through MGARCH-M model,studies the effects of risks of the non-diversifiable market,the firm size and the book-to-market equity factors on time-varying risk premiums.The results show that the effect of the market risk is significant,and the size factor has more effect on risk premiums than the market factor and the bookto market equity factor has least effect on risk premiums.Further,risk premiums show dynamic features and the risk premiums of ... |
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| Keywords: | risk premium asset pricing three-factor model multivariate GARCH-in-mean model |
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