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中国管理科学

中国管理科学 ›› 2008, Vol. 16 ›› Issue (1): 7-15.

• 论文 • 上一篇    下一篇

基于状态转移信息对FF三因子模型的改进

贺炎林   

  1. 对外经济贸易大学金融学院 北京100029
  • 收稿日期:2007-04-05 修回日期:2007-11-21 出版日期:2008-02-28 发布日期:2008-02-28
  • 作者简介:贺炎林(1969- ),男(汉族),四川南充人,对外经济贸易大学教师,研究方向:金融经济.
  • 基金资助:

    国家社科基金一般项目(05BTJ009);对外经济贸易大学校级科研课题研究成果(07QD09)

An Improvement of Fama French Three-Factor Model Based on State Switch Informations

HE Yan-lin   

  1. School of Banking and Finance, University of International Business and Economics, Beijing 100029, China
  • Received:2007-04-05 Revised:2007-11-21 Online:2008-02-28 Published:2008-02-28

PDF (PC)

1998

被引次数

38

摘要： 以1995年6月-2005年12月期间在我国沪深A股市场上市的全部股票为样本,本文实证发现,在新的样本期间,FF三因子模型不能对组合收益作出完全的解释。为了基于现代金融理论的基本观点对组合收益作出完全解释,本文利用状态转移信息对无条件的FF三因子模型进行改进,实证发现,改进后的状态转移的条件定价模型对我国股市的组合收益作出了完全解释。由此得出结论认为,在解释组合收益时,状态转移的条件定价模型是一个优于无条件FF三因子模型的模型。

关键词: 状态转移信息, 无条件的FF三因子模型, 条件定价模型

Abstract: An empirical analysis based on sample data of all A stocks listed on Shanghai and Shenzhen Exchanges from June 1995 to December 2005 found that,Fama French three-factor model could not explain perfectly Chinese portfolio returns during new sample period. In order to explain perfectly Chinese portfolio returns based on modern finance theory,an improvement of unconditional FF three-factor model was completed by means of state switch informations, and the improved conditional pricing model of state switch was empirically found to explain perfectly Chinese portfolio returns. A conclusion was followed that conditional pricing model of state switch is better than unconditional FF three-factor model while explaining portfolio returns.

Key words: state switch informations, unconditional FF three factor model, conditional pricing model

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