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| 多因子模型在股票市场的实证检验
摘要
随着市场条件的成熟，量化投资在中国市场，无论是从市场的规模，还是取得的收益来看，都有了迅速的发展。国内市场有效性偏弱，被错误定价的股票相对较多，需要依靠量化投资进行合理定价；国内市场个人投资比例较高，且普遍为风险厌恶者，需要依靠理性分析控制风险，这些特点都使得量化投资的发展成为必然。另一方面，国外的研究结果，计算机技术等的发展都为其提供了良好的条件。
从资本资产定价模型发展而来的多因子模型是量化投资应用最广泛、最成熟的方法之一。无论是三因子模型、五因子模型，还是现在的多因子模型，因子模型一直被学者不断用于实证和检验，不断被修正和完善。但是现有学术研究多是针对国内整体的股票市场，缺乏对行业的单独研究。行业的差异会使得相同的因子带来不同的影响，从而不同行业的因子模型的解释力也有所不同。因此本文使用因子模型对沪深300消费行业进行实证检验，以探究模型的适用性，并找出与股票收益率息息相关的因子。
本文以月度数据为样本，考察CAPM模型、三因子模型在沪深300消费行业的适用性。同时进行多因子模型的研究，寻找与股票收益率密切相关的新因子。主要结论有：CAPM、三因子模型在沪深300消费行业较为有效，且三因子模型的有效性比CAPM模型更高。但是，两个模型都存在被优化的空间，不具备完全的有效性。多因子模型中营业收入同比增长率、每股收益和市盈率三种因子都能从一定程度上解释股票收益率。
关键词：CAPM、三因子模型、多因子模型、因子有效性
ABSTRACT
With the maturity of market conditions,quantitative investment in the Chinese market, whether from the market size, or the income, has a rapid development. The efficiency of domestic market is weak,and there are relatively more mispriced stocks, which need to rely on quantitative investment for reasonable pricing; the proportion of individual investment in domestic market is relatively high, and generally risk averse, which need to rely on rational analysis to control risk. These characteristics make the development of quantitative investment inevitable.On the other hand, foreign research results and the development of computer technology have provided good conditions for it.
The multi factor model developed from the capital asset pricing model is one of the most widely used and mature methods for quantitative investment. Whether it is three factor model, five factor model or multi factor model,the factor model has been used for empirical and testing by scholars, and has been modified and improved. However, most of the existing academic research is aimed at the domestic stock market as a whole, lack of separate research on the industry. Industry differences will make the same factor bring different effects,so the explanatory power of factor models in different industries is also different. Therefore, this paper uses the factor model to empirically test the CSI300 consumer industry, in order to explore the applicability of the model and find out the factors closely related to the stock return.
Based on the monthly data,this paper investigates the applicability of CAPM model and three factor model in CSI300 consumer industry. At the same time, we study the multi factor model tofind the new factors closely related to stock returns. The main conclusions are: CAPM and three factor model are more effective in CSI300 consumer industry, and the effectiveness of three factor model is higher than CAPM model. However, both models have space to be optimized and are not fully effective.In the multi factor model, the year-on-year growth rate of operating income,earnings per share and P / E ratio can explain the stock return to a certain extent.
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