CAPM模型和Fama-French三因子模型检验——基于我国A股市场制造业股票
CAPM Model and Fama-French Three-Factor Model Test—Based on Manufacturing Stocks in China’s A-Share Market
摘要: 本文使用CAPM模型、Fama-French三因子模型及其沪市A股市场的日度交易数据，本研究旨在评估Fama-French三因子中的市场风险因子、市场规模因子及其账面市值比因子的有效性，以期更好地了解中国制造业的发展情况。经过实证研究，发现CAPM模型对中国制造业的适用性较强，而Fama-French模型适用性较低。此外，三因子模型对于制造业来说，其可靠度和适用范围都相对较低。
Abstract: This paper uses the CAPM model, the Fama-French three-factor model and its daily trading data of the Shanghai A-share market. The purpose of this study is to assess the validity of the market risk factor, the market size factor, and its book-to-market ratio factor in the Fama-French three-factor model with a view to better understanding the development of the manufacturing industry in China. After the empirical study, it is found that the CAPM model is more applicable to the Chinese manufacturing industry, while the Fama-French model is less applicable. In addition, the three-factor model has relatively low reliability and applicability for the manufacturing industry.
文章引用：袁先竹. CAPM模型和Fama-French三因子模型检验——基于我国A股市场制造业股票[J]. 电子商务评论, 2024, 13(3): 4231-4237. https://doi.org/10.12677/ecl.2024.133517

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