CAPM模型与Fama-French三因素模型对我国证券市场创业板的实证分析.docx

CAPM模型与Fama-French三因素模型对我国证券市场创业板的实证分析
Title:EmpiricalAnalysisoftheCAPMModelandFama-FrenchThree-FactorModelinChina'sGrowthEnterpriseMarket
Introduction:
TheCapitalAssetPricingModel(CAPM)andFama-FrenchThree-FactorModelarewidelyusedinempiricalresearchtoevaluatetheriskandreturnrelationshipinfinancialmarkets.ThisstudyaimstoanalyzetheapplicabilityandeffectivenessoftheCAPMmodelandFama-FrenchThree-FactorModelinthecontextofChina'sgrowthenterprisemarket(GEM).TheGEM,alsoknownastheSMEboard,wasestablishedin2009andprovidesaplatformforsmallandmedium-sizedenterprisestoraisecapitalthroughinitialpublicofferings(IPOs)inChina.
1.CapitalAssetPricingModel(CAPM)
TheCAPMisawidelyusedmodelthatrelatesanasset'sexpectedreturntoitssystematicrisk.Itisprimarilybasedontheassumptionthatinvestorsarerisk-averse,andtheirinvestmentdecisionsareinfluencedbythetrade-offbetweenriskandreturn.TheCAPMisexpressedbythefollowingequation:
E(Ri)=Rf+βi*(Rm-Rf)
Where:
E(Ri)istheexpectedreturnonasseti,
Rfistherisk-freerate,
βiisthebetaofasseti,whichmeasuresitssystematicrisk,
Rmistheexpectedreturnonthemarketportfolio.
2.Fama-FrenchThree-FactorModel
TheFama-FrenchThree-FactorModelexpandsontheCAPMbyincludingadditionalfactorstoexplainthecross-sectionalvariationinassetreturns.Thethreefactorsconsideredinthismodelare:
a)Marketriskfactor(RMRF)-theexcessreturnoftheoverallmarketovertherisk-freerate.
b)Sizefactor(SMB)-thereturndifferencebetweensmallandlargefirms.
c)Valuefactor(HML)-thereturndifferencebetweenhighbook-to-marketvalueandlowbook-to-marketvaluefirms.
TheFama-FrenchThree-FactorModelisrepresentedbythefollowingequation:
E(Ri)=Rf+βi(RMRF)+si(SMB)+vi(HML)
EmpiricalAnalysis:
ToconducttheempiricalanalysisfortheGEM,historicaldataforasampleofcompanieslistedontheGEMwillbecollected.Thefollowingstepswillbeundertaken:
1.DataCollection:GatherhistoricaldailyormonthlyreturnsdataforasampleofcompanieslistedontheGEMalongwiththerelevantrisk-freerate,marketreturn,marketcapitalization,andbook-to-marketratios.
2.CalculationofBeta:Calculat