深圳股市多因子模式之實證研究

中國大陸自1990 年成立深圳證券交易所以來，其交易量與重要性與日俱增，但過去文獻對大陸股市之多因子模式主要針對上海股市作研究，尚未對深圳股市加以深入探討。因此，本研究之目的在評估多種因子模式在解釋深圳股市股票報酬變異的適用性，這些模式包括Black，Jensen and Scholes(1972)的單因子模式、Fama and French(1993)的三因子模式、Carhart(1997)的四因子模式，顧廣平(2005)提出適合台灣股市的市場、成交量、營收市場比、價格動能四因子模式，以及本研究提出的市場、規模、淨值市價比、營收市價比四因子模式等。研究結果發現，深圳股市在研究期間均存在顯著的規模、淨值市價比及營收市價比效應，而且不論以調整後判定係數(R^2)或由截距項檢定，本研究提出之市場、規模、淨值市價比、營收市價比四因子模式對深圳股市之解釋能力均較其他因子模式為佳。

關鍵字

四因子模式；價格動能；規模效應；淨值市價比；營收市價比

並列摘要

Stock index is one of the most important research issues in financial time series Since China launched the Shenzhen Stock Exchange in 1990, the exchange volume and the importance of the Shenzhen stock market has grown at a phenomenal pace. However, previous literature has only evaluated the appropriate multi-factor model for the Shanghai Stock Exchange and has not deeply studied the multi-factor model of the Shenzhen stock market in mainland China. Therefore, the objective of this study was to examine the validity and fitness of five factor models in explaining the variation in stock returns in the Shenzhen Stock Exchange. The models considered in this study included the one-factor model of Black, Jensen and Scholes (1972), the three-factor model of Fama and French (1993), the four-factor model of Carhart (1997), and the four-factor model of Ku (2005) including market, volume, sales-to-price, and price momentum for Taiwan's stock market. Moreover, this study developed a four-factor model including market, size, book-to-price, and sales-to-price for the Shenzhen Stock Exchange in China. The results showed that the Shenzhen stock market had size, book-to-price, and sales-to-price effects. Both the adjusted R^2 and intercept tests of the regression models showed the four-factor model proposed by this study explained the stock return variations of the Shenzhen stock market better than other factor models.