资产增长效应与市场有效性——基于风险因素的实证分析
Asset growth effect and market efficiency: An empirical analysis of risk factors

以1998年至2015中国A股上市公司为研究对象，考察了Fama-French五因子模型对资产增长效应的解释能力。研究发现，投资增长风险因子对组合收益率的分布有显著影响，Fama-French五因子模型可以解释资产增长效应。除了市值规模因子和投资增长因子外，其他因子对股票横截面收益的预测能力并不显著。基于此，探讨影响资产价格变动的风险因子，并建立适当的资产定价模型，有利于改善中国股市的资源配置功能。
Using the sample of Chinese listed A-shares from 1998 to 2015, this article investigates the explanatory power of Fama-French five factor model in explaining the asset growth effect. Empirical results show that the model has strong power in explaining the effect, and the investment risk factor is priced. Among the five factors, only the size factor and the investment factor are predictive for forecasting A-share's cross-sectional stock returns. Based on these findings, we find the investigation of risk factors and appropriate asset pricing models are vital for improving the resource allocation function of Chinese Stock Market.