基于Fama-French三因子模型对我国上市银行股票的适应性检验

An Adaptability Test of Chinese Listed Bank Stocks Based on Fama-French Three-Factor Model

摘要: 本文以我国16家A股上市商业银行2020年5月~2023年4月的日度数据作为研究对象，分别构建投资组合，利用Fama-French三因子模型实证检验并观察该模型在新冠肺炎疫情这一极端风险事件下对我国银行股市场的拟合程度。研究结果显示：1) 四个组合回归所得到市场风险因子及规模因子均表现显著；2) 除大规模、低账面市值比组合回归系数显著为正外，其余三个组合的账面市值比因子均表现为负数，且对于S/L组合而言，账面市值比因子股票收益没有显著影响；3) 我国上市银行股存在“规模效应”，但“账面价值比”效应并不显著。因此，对于投资者来说，在极端事件发生期间内，规模小、账面市值比低的组合是最适合的银行股投资对象；特别地，规模小、高账面市值比的投资组合在报告期间内表现最差，在投资策略中应适当规避。

Abstract: This paper takes the daily data of 16 Chinese A-share listed commercial banks from May 2020 to April 2023 as the research object, constructs investment portfolios respectively, and uses the Fama-French three-factor model to empirically test and observe the fitting degree of the model to China’s bank stock market under the extreme risk event of the COVID-19. The research results show that: 1) the market risk factors and scale factors obtained by the four combinations of regression are significant; 2) Except that the regression coefficient of B/L combination is significantly positive, the book-to-market ratio factor of the other three portfolios is negative, and for the S/L portfolio, the BM factor has no significant impact on stock returns; 3) There is a “Small Cap Stocks Effect” in China’s listed bank stocks, but the “BM Effect” effect is not significant. Therefore, for investors, during the period of extreme events, the portfolio with small scale and low book-to- market ratio is the most suitable investment object for bank stocks; In particular, small portfolios with high book-to-market ratios performed the worst during the reporting period and should be appropriately avoided in the investment strategy.