摘要/Abstract

2015年Fama-French在三因子模型的基础上加入了投资和盈利两个变量，针对美国股票市场提出了五因子模型，目前国内关于Fama-French五因子模型的研究还较少。本文以沪深A股1997年到2015年月度收益率为样本，从GRS统计、回归分析等方面研究Fama-French五因子模型在A股市场的表现。研究表明A股市场并不存在显著的投资效应（investment effect）和盈利效应(profitability effect)。但是对于按投资和盈利构建的投资组合，Fama-French五因子模型能够

Fama-French proposed a five-factor model by adding two extra factors in US market in 2015, which are investment and profitability. This paper studies the performance of Fama-French five-factor model in A-share market based on the monthly yield data of Shanghai and Shenzhen A shares from 1997 July to 2015 June . The results show that there is a significant size effect in the A-share market, without significant value effect, as well as investment effect and profitability effect. But for the portfolios constructed on investment and profitability, Fama-French five-factor model can significantly improve the performance of the three-factor model.