Fama五因子模型在中国上证50成分股适用性的实证研究
An Empirical Study on the Applicability of the FAMA Five-Factor Model to the SSE 50 Constituent Stocks in China

本文依据Fama-French (2015)最新提出的五因子模型，选取我国上证50成分股公司2015年1月至2022年12月的月度收益率数据进行实证检验。结果表明，使用五因子模型对上证50成分股的分析比使用三因子模型具有更好的解释能力，同时发现其存在规模效应、账面市值比效应、盈利效应和投资效应都较为显著。虽然五因子模型对样本具有较明显的适用性，但是其解释能力仍然有限，需要我国加强对上证50成分股公司的信息披露、提高投资主体的素质、加强监管以提高定价效率。研究结果不仅能够丰富完善资产定价模型的理论体系，而且能够根据实证结果分析上证50成分股的收益率的影响因素，帮助投资者制定科学合理的投资策略。
This study conducts an empirical examination based on the latest Fama-French (2015) five-factor model, utilizing monthly return data from January 2015 to December 2022 for companies listed on China’s SSE 50 Index. The results indicate that the five-factor model exhibits better explanatory power for analyzing SSE 50 Index constituents compared to the three-factor model. Significant effects are observed in size, book-to-market ratio, profitability, and investment factors. While the five-factor model demonstrates notable applicability to the sample, its explanatory power remains limited, emphasizing the need for China to enhance information disclosure, improve the quality of investment entities, and strengthen regulatory measures to enhance pricing efficiency for SSE 50 Index constituents. The research findings not only contribute to enriching the theoretical framework of asset pricing models but also provide insights into the factors influencing the returns of SSE 50 Index constituents, assisting investors in formulating scientifically rational investment strategies.