CAPM模型和Fama-French三因子模型对我国股票市场的适用性分析
The Applicability Analysis of CAPM Model and Fama-French Three-Factor Model to Chinese Stock Market

文章以CAPM模型和Fama-French三因子模型为基础，选用2022年和2023年沪深300指数所有成分股的每日数据。采用市场因子、规模因子和账面市值比三个因子作为解释变量，运用Python等计量软件对能够代表我国A股市场整体情况的沪深300指数的成分股进行实证分析。旨在检验这两个模型在我国股票市场上的适用性，并对这两个模型的效果进行比较分析。研究结果表明，无论是CAPM模型，还是将规模因子和账面市值比因子涵盖在内的Fama-French三因子模型，都能相对准确地描述股票市场的预期回报情况，三因子模型由于包含更多的因子，解释力度要优于CAPM模型。
The paper is based on the CAPM model and the Fama-French three-factor model, and the daily data of all constituents of CSI 300 index in 2022 and 2023 are selected. Using three factors, namely market factor, scale factor and book market value ratio, as explanatory variables, this paper uses measurement software such as Python to make an empirical analysis of the constituents of CSI 300 index, which can represent the overall situation of China’s A-share market. The purpose of this study was to test the applicability of these two models in China’s stock market, and to compare and analyze the effects of these two models. The results show that both the CAPM model and the Fama-French three-factor model, which includes the size factor and the book-to-market ratio factor, can describe the expected return of the stock market relatively accurately, and the three-factor model is better than the CAPM model because it contains more factors.