主题

中国A股的因子模型

主讲人

Laurens Swinkels 副教授Erasmus University Rotterdam

主持人

吴季 教授hy5902海洋之神

时间

2023年4月3日（周一）下午3:00-4:30

地点

柳林校区格致楼1211会议室

主办方

hy5902海洋之神西南财经大学科研处

内容提要

We compare the pricing ability of popopular asset pricing models for the cross-section of U.S. equities on a large, liquid, but mostly segmented equity market of Chinese A-shares. The q-factor model performs well among factor models developed for the U.S. equity market, but is outperformed by a modified Fama-French six-factor model and by a four-factor asset pricing model adapted to the Chinese A-shares market. A data-driven method to detect the preferred asset pricing model results in the same four factors, plus three additional ones. However, these three additional factors do not reduce the pricing errors to a set of test assets. When taking transaction costs into account, the ranking of asset pricing models changes. The preferred model from both the direct and data-driven model comparison methods now consists of a three-factor model comprising the market, size, and an earnings-based value factor.

我们比较了常用的基于美国证券市场的资产定价模型对于中国这一大型、高流动性但是分割的中国A股市场的定价能力。Q-因子模型在那些基于美国市场的因子模型中表现良好，但是其表现弱于调整后Fama-French六因子模型和针对中国A股市场调整后的四因子资产定价模型。我们采用数据驱动的方法来寻找更优的资产定价模型，结果得到同样的四因子以及额外三个因子。但是，这些额外的因子在一系列测试资产中并不能减少定价错误。当将交易成本纳入考量，资产定价模型的排序发生了变化，来自于直接和数据驱动模型比较方法所得到的更优模型变为包涵市场、规模和基于营收的价值三者的三因子模型。

主讲人简介

Laurens Swinkels目前为荷兰Erasmus University Rotterdam副教授，主要研究领域包括资产定价、资本市场、政府债券等。他的研究成果发表于《Journal of Financial Economics》《 Journal of International Money and Finance》《Journal of International Financial Markets Institutions, and Money》《 Journal of Banking and Finance》《Journal of Portfolio Management》《Emerging Markets Review》《Pacific-Basin Finance Journal》《Journal of Asset Management》《Journal of Empirical Finance 》等国际金融主流期刊。