作　　者： ;

机构地区： 华南理工大学

出　　处： 《金融经济学研究》 2017年第1期36-50,共15页

摘　　要： 针对Fama-French五因子模型不足以很好解释股票市场的动量效应,本文从因子定价模型出发,依据流动性溢价理论,将流动性作为风险因子加入五因子模型中构成六因子模型,并采取六因子模型对动量效应进行解释,经过对中国股票市场大量实证检验发现：流动性与动量效应显著负相关,且加入流动性因子的六因子模型对动量效应的解释度有了很大提升,解释度高达75%以上。这一发现在一定程度上缓解了现有资产定价模型在面对动量效应解释方面的尴尬境遇。 Since Fama- French Five Factor Model is not adequate to explain momentum effect in stock market, the present study develops a six factor model by taking liquidity as a risk factor according to the theory of liquidity premium to better explain the momentum effect. The re- sults of a large number of empirical tests in China＇s stock market show that there is a significant negative correlation between liquidity and momentum effect, and the effectiveness of the six factor model has been greatly improved as it is up to 75 %. The new model, therefore, is of significance for asset pricing model to explain momentum effect.

关 键 词： 股票市场流动性 动量效应 风险因子

分 类 号： [F832.5]

领　　域： []