基于三因素模型的新能源行业股票收益分析

Stock Return Analysis of New Energy Industry Based on Three Factor Mode

摘要: 本文选取2015年9月至2019年12月中证500中新能源行业46只股票为样本，以三因素模型为依据，通过回归筛选出与股票收益相关的显著因子，对股票收益的影响因素进行分析。研究结果表明，对我国新能源行业的股票来说，市场因子的影响相比于账面市值比因子和市值因子均更为显著，其中账面市值比因子的影响较小。市值因子的影响方向跟三因素模型的预期相同，说明目前新能源行业依然处于成长阶段。

Abstract: Samples of 46 stocks in the new energy industry of CSI 500 were selected from September 2015 to December 2019. Based on the three factor model, significant influencing factors related to stock returns were selected through regression, and the influencing factors of stock returns were analyzed. The results show that for the stock of new energy industry, market factors have more significant impact than book to market ratio and market value factors, where the impact of book to market ratio is much small. Because the influence direction of market value factor is consistent with the expectation of three factor model, it shows that the new energy industry is still at growth stage.