发现基本面价值：基于中国数据的基本面加权指数研究

贺学会; 秦建西; 王乐

发现基本面价值：基于中国数据的基本面加权指数研究

引用本文：贺学会，秦建西，王乐.发现基本面价值：基于中国数据的基本面加权指数研究[J].财经理论与实践,2016,(2):26-31

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作者	单位
贺学会，秦建西，王乐	（上海对外经贸大学金融管理学院，上海201620）

中文摘要:自Arnott和Hsu在2005年提出基本面加权指数以来，基本面加权指数的研究结果在世界各主要市场都得到了验证。因我国股票市场规模化的历史相对较短，这一方面的研究也存在一些欠缺。基于2002~2014年沪深股市的全部A股数据，通过构建基本面加权指数，将其与沪深300指数进行全面的对比，并用CAPM、三因子模型、四因子模型对基本面加权指数的收益进行检验。研究发现：基本面加权指数的表现显著优于沪深300指数的表现且结论通过了各项稳健性检验，表明基本面加权指数在我国市场已初步具备实战应用价值。

中文关键词:基本面加权指数市场有效性三因子模型四因子模型

Discovering theValue of the Fundamentals: A Fundamentals Indexation Research Based on the Chinese Stock Market

Abstract:Since Arnott and Hsu proposed the fundamental indexation in 2005, studies of the fundamental indices are popular all over the world. However, it is still in its infancy in China. In this paper, based on monthly data of A-share from 2002 to 2014 of Shanghai and Shenzhen Stock Exchange, we build the fundamental indices which significantly outperform their traditional counterparts, i.e., CSI 300 index. They also pass the robustness check with CAPM, three factor model and four factor model. Our main conclusion is that the fundamental index is significantly superior to the performance of the CSI 300 index, and the three factor model has the best explanatory power. The conclusion of the paper passes the robustness checks, which implies that the fundamental indices have the market vitality in practice.

keywords:fundamental indexation market efficiency three factor model four factor model

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