THE JOURNAL OF FINANCIAL ECONOMICS· VOL.121, ISSUE.3 · MARCH 2017

五因子定价模型的国际检验

作者：Eugene F. Fama (University of Chicago, Booth School of Business), Kenneth R. French (Tuck School of Business, Dartmouth College)

摘要：北美、欧洲和亚太地区的股票平均收益率随着账面市值比（B/M）和盈利的增加而增加，但与投资负相关。在日本，平均收益率与账面市值比的相关关系很强，但与盈利和投资的关系不大。五因子定价模型在三因子定价模型（Fama & French, 1993）上增加了盈利因子和投资因子，它很大程度地刻画了平均收益率的模式。如同Fama和French（2015, 2016）所述，模型的主要问题是没能完全捕捉到一些小盘股低的平均收益率，这些小盘股的收益率表现得就像投资激进的低盈利公司的股票一样。

关键字：国际资产定价，多因子模型，股利贴现模型

International tests of a five-factor asset pricing model

Eugene F. Fama (University of Chicago Booth School of Business), Kenneth R. French (Tuck School of Business, Dartmouth College)

ABSTRACT

Average stock returns for North America, Europe, and Asia Pacific increase with the book-to-market ratio (B/M) and profitability and are negatively related to investment. For Japan, the relation between average returns and B/M is strong, but average returns show little relation to profitability or investment. A five-factor model that adds profitability and investment factors to the three-factor model of Fama and French (1993) largely absorbs the patterns in average returns. As in Fama and French (2015, 2016), the model's prime problem is failure to capture fully the low average returns of small stocks whose returns behave like those of low profitability firms that invest aggressively.

Keywords: International asset pricing, Multifactor models, Dividend discount model

原文链接：http://www.sciencedirect.com/science/article/pii/S0304405X1630215X

翻译：吴雨玲