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首页> 外文期刊>China Finance and Economic Review >Whether profitability and investment factors have additional explanatory power comparing with Fama-French Three-Factor Model: empirical evidence on Chinese A-share stock market
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Whether profitability and investment factors have additional explanatory power comparing with Fama-French Three-Factor Model: empirical evidence on Chinese A-share stock market

机译：与Fama-French三因素模型相比，获利能力和投资因素是否具有额外的解释力：中国A股市场的经验证据

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Abstract Background Fama and French propose a five-factor model that contains the market factor and factors related to size, book-to-market equity ratio, profitability, and investment, which outperforms the Fama-French Three-Factor Model in their paper in 2014. This study investigates the performance of Fama-French Five-Factor Model and compare with that of Fama-French Three-Factor Model on Chinese A-share stock market. Methods Portfolios are constructed following Fama and French method. The OLS is applied to running time-series regressions; the t -statistics of regression coefficients are corrected for heteroscedasticity and autocorrelation using the Newey-West estimator with five lags. Results The empirical results show that Fama-French Five-Factor Model explanatory power has differences among different sets of portfolios. In comparison with Fama-French Three-Factor Model, the presence of profitability and investment factors seem not to capture more variations of expected stock returns than the three-factor model except for six value-weighted portfolios formed on size and operating profitability. Conclusions Profitability and investment factors do not have much additional explanatory power, and Fama-French Five-Factor Model does not have significant improvement in explaining average excess stock returns comparing with the original three-factor model on Chinese A-share stock market, which is inconsistent with the findings on US stock market.
机译：摘要背景Fama和French提出了一个五因素模型，该模型包含了市场因素以及与规模，账面市值比，获利能力和投资相关的因素，其在2014年的论文中优于Fama-French三因素模型。本研究调查了Fama-French五因素模型在中国A股市场的表现，并与Fama-French三因素模型进行了比较。方法投资组合是按照Fama和French方法构建的。 OLS适用于运行时间序列回归;使用具有五个滞后的Newey-West估计量，针对异方差和自相关校正回归系数的t统计量。结果实证结果表明，Fama-French五因素模型的解释力在不同组合的投资组合之间存在差异。与Fama-French三因素模型相比，除了六点价值加权投资组合（基于规模和运营获利能力）之外，盈利能力和投资因素的存在似乎没有比三因素模型捕获更多的预期股票收益变化。结论盈利能力和投资因素并没有太多的解释力，Fama-French五因素模型在解释平均超额股票收益方面与中国A股市场上的原始三因素模型相比没有显着改善。与美国股市的调查结果不一致。

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