Fama- MacBeth结论 c1的均值为正值,在95%的置信度下不为零,表明收益 与β值成正相关关系,但高于(beta<1)或低于(beta>1) 实际风险溢价 C2、c3在95%的置信度下值为零,表明其他非系统性风 险在股票收益的定价中不起主要作用 E(Co)>Re
11 ❖ Fama-MacBeth结论 ◼c1的均值为正值，在95%的置信度下不为零，表明收益 与β值成正相关关系,但高于（beta<1）或低于（beta>1） 实际风险溢价 ◼c2、c3在95%的置信度下值为零，表明其他非系统性风 险在股票收益的定价中不起主要作用。 ◼ E(c0 ) > Rf
市场异象 ☆规模效应.Banκ(1981)首先发现,市值规模 (ME,即股票价格与总股数的乘积)对于β提 供的截面平均收益有进一步的解释能力 Average returns on small stocks are too high given their betas, and those on large stocks are too low. 冷杠杆效应. Bhandari(1988,JF)发现的杠杆比率和 平均收益率之间存在正相关关系. Leverage helps explain returns after controlling for size and beta
12 市场异象 ❖ 规模效应. Banz (1981)首先发现，市值规模 （ME，即股票价格与总股数的乘积）对于β提 供的截面平均收益有进一步的解释能力。 Average returns on small stocks are too high given their betas, and those on large stocks are too low. ❖ 杠杆效应. Bhandari (1988, JF)发现的杠杆比率和 平均收益率之间存在正相关关系. Leverage helps explain returns after controlling for size and beta
净市率效应(Bok-to- Market)。 Rosenberg et al.(1985,JPM)股票收益与净市率正相关Chan Hamao, and lakonishok(1991)净市率同样对日 本股市的截面股票平均收益有很强的解释能力 股利率效应( Dividend yield effect). Holding risk constant, the higher is a stock's dividend yield the higher is the required before-tax return to compensate taxable investors for the higher tax liability
13 ❖ 净市率效应（Book-to-Market）。Rosenberg et al. (1985, JPM) 股票收益与净市率正相关. Chan, Hamao, and Lakonishok (1991)净市率同样对日 本股市的截面股票平均收益有很强的解释能力 . ❖ 股利率效应（Dividend yield effect）. Holding risk constant, the higher is a stock’s dividend yield, the higher is the required before-tax return to compensate taxable investors for the higher tax liability
市盈率效应(PE)Basu(1977,1983)市盈率在包括规模 与B的实证分析中对美国股票市场的截面平均收益也有 很强的解释能力.E/ P ratios help explain the cross section of average returns in addition to size and beta 冷复合效应。 Since size,P/E,P/B, dividend yield are computed using a common variable -price/share, these effects tend to be dependent. To give an expression on the interrelations, average P/B, market capitalization, E/P and price for ten portfolios constructed of NYSE firms on the basis of increasing values of P/B suggest strong correlations
14 ❖ 市盈率效应（PE). Basu (1977, 1983)市盈率在包括规模 与β的实证分析中对美国股票市场的截面平均收益也有 很强的解释能力 . E/P ratios help explain the crosssection of average returns in addition to size and beta. ❖ 复合效应。 Since size, P/E, P/B, dividend yield are computed using a common variable – price/share, these effects tend to be dependent. To give an expression on the interrelations, average P/B, market capitalization, E/P and price for ten portfolios constructed of NYSE firms on the basis of increasing values of P/B suggest strong correlations
Fama and French(1992) ☆ Fama and french(1992)是第一个系统分析评价 β、规模、市盈率、杠杆比率和净市率对 NYSE,AMEX, NASDAQ市场上交易的个股 截面平均收益的解释能力,证明S-L-B模型预测 能力的局限性,即平均股票收益与β正相关不 成立,同时,给出了新的股票定价因素
15 Fama and French (1992) ❖ Fama and French (1992) 是第一个系统分析评价 β、规模、市盈率、杠杆比率和净市率对 NYSE，AMEX，NASDAQ市场上交易的个股 截面平均收益的解释能力，证明S-L-B模型预测 能力的局限性，即平均股票收益与β正相关不 成立 ，同时，给出了新的股票定价因素