Chinese Journal of Management Science ›› 2024, Vol. 32 ›› Issue (8): 50-60.doi: 10.16381/j.cnki.issn1003-207x.2022.1429
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Xuanming Ni1,Tiantian Zheng1,Huimin Zhao2(),Kangping Wu3
Received:
2022-06-30
Revised:
2022-12-18
Online:
2024-08-25
Published:
2024-08-29
Contact:
Huimin Zhao
E-mail:zhaohuim@mail.sysu.edu.cn
CLC Number:
Xuanming Ni,Tiantian Zheng,Huimin Zhao,Kangping Wu. Asset Pricing Based on the Optimal Idiosyncratic Return Factor[J]. Chinese Journal of Management Science, 2024, 32(8): 50-60.
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数据集名 | 资产数 | 时间跨度 | 来源 |
---|---|---|---|
ME5-BEME5-CN | 25 | 1995/01-2022/11 | CSMAR(基于个股信息构造) |
ME5-INV5-CN | 25 | 1995/01-2022/11 | CSMAR(基于个股信息构造) |
ME5-OP5-CN | 25 | 1995/01-2022/11 | CSMAR(基于个股信息构造) |
ME5-MOM5-CN | 25 | 1995/01-2022/11 | CSMAR(基于个股信息构造) |
ME5-PE5-CN | 25 | 1995/01-2022/11 | CSMAR(基于个股信息构造) |
ME5-ROE5-CN | 25 | 1995/01-2022/11 | CSMAR(基于个股信息构造) |
ME5-BEME5-US | 25 | 1963/07-2022/10 | Kenneth R. French Data Library |
ME5-INV5-US | 25 | 1963/07-2022/10 | Kenneth R. French Data Library |
ME5-OP5-US | 25 | 1963/07-2022/10 | Kenneth R. French Data Library |
ME5-MOM5-US | 25 | 1963/07-2022/10 | Kenneth R. French Data Library |
"
模型 | BEME (1) | INV (2) | OP (3) | MOM (4) | PE (5) | ROE (6) |
---|---|---|---|---|---|---|
Base:FF3 | ||||||
FF3 | 13.1445 | 19.9210 | 16.5175 | 15.0180 | 14.3725 | 17.1991 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
FF3-MV | 1.0940 | 2.4821 | 1.8546 | 1.9885 | 1.8909 | 1.7332 |
(0.3476) | (0.0002) | (0.0089) | (0.0040) | (0.0072) | (0.0179) | |
MVE | 1.1936 | 1.6755 | 1.6119 | 2.7056 | 1.0238 | 1.5562 |
(0.2770) | (0.0482) | (0.0619) | (0.0006) | (0.4512) | (0.0769) | |
MVE-MV | 1.2363 | 1.6886 | 1.5791 | 2.6570 | 1.1149 | 1.5245 |
(0.2424) | (0.0461) | (0.0709) | (0.0008) | (0.3517) | (0.0874) | |
PCA | 70.8700 | 3.3591 | 4.8543 | 7.0512 | 2.8394 | 5.3881 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
PCA-MV | 36.7027 | 1.9102 | 2.7191 | 3.0232 | 1.9557 | 2.5225 |
(0.0000) | (0.0192) | (0.0006) | (0.0002) | (0.0159) | (0.0015) | |
Base:C4 | ||||||
C4 | 13.1858 | 19.9417 | 17.7860 | 15.6457 | 14.4048 | 17.7537 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
C4-MV | 1.5014 | 2.5055 | 1.9206 | 1.6961 | 1.8865 | 1.7416 |
(0.0615) | (0.0001) | (0.0060) | (0.0220) | (0.0074) | (0.0171) | |
MVE | 0.9425 | 1.8707 | 1.7414 | 1.7378 | 0.9287 | 1.8171 |
(0.5500) | (0.0217) | (0.0369) | (0.0375) | (0.5674) | (0.0271) | |
MVE-MV | 1.0259 | 2.0083 | 1.7728 | 1.6430 | 0.9712 | 1.8196 |
(0.4490) | (0.0124) | (0.0329) | (0.0553) | (0.5145) | (0.0271) | |
PCA | 2.5416 | 2.4555 | 3.2339 | 6.2533 | 1.2769 | 3.3114 |
(0.0001) | (0.0002) | (0.0000) | (0.0000) | (0.1733) | (0.0000) | |
PCA-MV | 1.5867 | 1.9160 | 2.2437 | 2.3251 | 1.1922 | 1.9420 |
(0.0700) | (0.0188) | (0.0048) | (0.0034) | (0.2799) | (0.0169) | |
Base:FF5 | ||||||
FF5 | 12.2916 | 18.2013 | 14.5138 | 13.8382 | 12.8829 | 15.3652 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
FF5-MV | 1.2171 | 1.8741 | 1.4984 | 2.0453 | 1.7119 | 1.4176 |
(0.2213) | (0.0080) | (0.0624) | (0.0028) | (0.0202) | (0.0925) | |
MVE | 1.3119 | 1.1819 | 1.0459 | 2.4659 | 0.9739 | 1.0127 |
(0.1879) | (0.2873) | (0.4257) | (0.0017) | (0.5111) | (0.4642) | |
MVE-MV | 1.2985 | 1.1894 | 1.0537 | 2.4592 | 1.0417 | 1.0062 |
(0.1973) | (0.2812) | (0.4172) | (0.0018) | (0.4308) | (0.4721) | |
PCA | 5.0999 | 4.8512 | 6.0405 | 9.0142 | 4.6782 | 5.8977 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
PCA-MV | 3.4042 | 1.5849 | 2.3086 | 2.8972 | 1.9755 | 2.4746 |
(0.0000) | (0.0705) | (0.0036) | (0.0003) | (0.0147) | (0.0018) |
"
模型 | BEME | INV | OP | MOM | PE | ROE |
---|---|---|---|---|---|---|
Base:FF3 | ||||||
FF3 | 13.1445 | 19.9210 | 16.5175 | 15.0180 | 14.3725 | 17.1991 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
FF3-MV | 3.4874 | 2.9205 | 2.6322 | 3.5418 | 2.7474 | 2.5147 |
(0.0000) | (0.0002) | (0.0009) | (0.0000) | (0.0006) | (0.0015) | |
MVE | 1.1936 | 1.6755 | 1.6119 | 2.7056 | 1.0238 | 1.5562 |
(0.2770) | (0.0482) | (0.0619) | (0.0006) | (0.4512) | (0.0769) | |
MVE-MV | 0.6125 | 1.8356 | 2.0824 | 5.9804 | 1.5512 | 2.3772 |
(0.9290) | (0.0099) | (0.0022) | (0.0000) | (0.0477) | (0.0003) | |
PCA | 70.8700 | 3.3591 | 4.8543 | 7.0512 | 2.8394 | 5.3881 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
PCA-MV | 65.1869 | 3.0563 | 4.4415 | 6.7906 | 2.4868 | 4.9631 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0002) | (0.0000) | |
Base:C4 | ||||||
C4 | 13.1858 | 19.9417 | 17.7860 | 15.6457 | 14.4048 | 17.7537 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
C4-MV | 1.5985 | 4.0996 | 2.1118 | 1.9392 | 2.1105 | 1.9459 |
(0.0675) | (0.0000) | (0.0085) | (0.0174) | (0.0085) | (0.0169) | |
MVE | 0.9425 | 1.8707 | 1.7414 | 1.7378 | 0.9287 | 1.8171 |
(0.5500) | (0.0217) | (0.0369) | (0.0375) | (0.5674) | (0.0271) | |
MVE-MV | 0.6349 | 2.1381 | 2.7254 | 2.1344 | 0.9488 | 2.701 |
(0.9134) | (0.0016) | (0.0000) | (0.0016) | (0.5372) | (0.0000) | |
PCA | 2.5416 | 2.4555 | 3.2339 | 6.2533 | 1.2769 | 3.3114 |
(0.0001) | (0.0002) | (0.0000) | (0.0000) | (0.1733) | (0.0000) | |
PCA-MV | 4.1944 | 2.4587 | 3.6146 | 3.1235 | 1.1356 | 3.8824 |
(0.0000) | (0.0002) | (0.0000) | (0.0000) | (0.3007) | (0.0000) | |
Base:FF5 | ||||||
FF5 | 12.2916 | 18.2013 | 14.5138 | 13.8382 | 12.8829 | 15.3652 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
FF5-MV | 3.5243 | 2.3147 | 1.8735 | 3.2986 | 2.5161 | 1.7374 |
(0.0000) | (0.0037) | (0.0227) | (0.0001) | (0.0016) | (0.0397) | |
MVE | 1.3119 | 1.1819 | 1.0459 | 2.4659 | 0.9739 | 1.0127 |
(0.1879) | (0.2873) | (0.4257) | (0.0017) | (0.5111) | (0.4642) | |
MVE-MV | 0.4119 | 0.8239 | 0.6615 | 5.459 | 1.415 | 0.8911 |
(0.9951) | (0.7107) | (0.8923) | (0.0000) | (0.0935) | (0.6182) | |
PCA | 5.0999 | 4.8512 | 6.0405 | 9.0142 | 4.6782 | 5.8977 |
(0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | (0.0000) | |
PCA-MV | 3.1081 | 2.1424 | 4.6007 | 7.0399 | 2.8333 | 3.8119 |
(0.0000) | (0.0015) | (0.0000) | (0.0000) | (0.0000) | (0.0000) |
"
模型 | BEME | INV | OP | MOM | PE | ROE |
---|---|---|---|---|---|---|
Base:FF3 | ||||||
FF3 | 0.0185 | 0.0197 | 0.0187 | 0.0189 | 0.0184 | 0.0188 |
FF3-MV | 0.0178 | 0.0190 | 0.0179 | 0.0183 | 0.0177 | 0.0180 |
0.0154 | 0.0137 | 0.0154 | 0.0165 | 0.0153 | 0.0153 | |
MVE | 0.0088 | 0.0086 | 0.0089 | 0.0096 | 0.0085 | 0.0088 |
MVE-MV | 0.0038 | 0.0058 | 0.0047 | 0.0048 | 0.0041 | 0.0050 |
0.0088 | 0.0088 | 0.0089 | 0.0096 | 0.0084 | 0.0087 | |
PCA | 0.0031 | 0.0052 | 0.0042 | 0.0046 | 0.0038 | 0.0045 |
PCA-MV | 0.0026 | 0.0049 | 0.0040 | 0.0045 | 0.0032 | 0.0043 |
0.0027 | 0.0050 | 0.0045 | 0.0047 | 0.0029 | 0.0045 | |
Base:C4 | ||||||
C4 | 0.0184 | 0.0196 | 0.0186 | 0.0187 | 0.0183 | 0.0186 |
C4-MV | 0.0150 | 0.0157 | 0.0152 | 0.0142 | 0.0147 | 0.0153 |
0.0157 | 0.0128 | 0.0155 | 0.0157 | 0.0149 | 0.0155 | |
MVE | 0.0061 | 0.0060 | 0.0066 | 0.0061 | 0.0063 | 0.0067 |
MVE-MV | 0.0009 | 0.0036 | 0.0039 | 0.0020 | 0.0019 | 0.0044 |
0.0062 | 0.0063 | 0.0068 | 0.0062 | 0.0066 | 0.0069 | |
PCA | 0.0016 | 0.0039 | 0.0036 | 0.0035 | 0.0017 | 0.0040 |
PCA-MV | 0.0012 | 0.0039 | 0.0042 | 0.0021 | 0.0019 | 0.0047 |
0.0016 | 0.0042 | 0.0040 | 0.0036 | 0.0022 | 0.0043 | |
Base:FF5 | ||||||
FF5 | 0.0182 | 0.0198 | 0.0184 | 0.0184 | 0.0179 | 0.0185 |
FF5-MV | 0.0165 | 0.0177 | 0.0167 | 0.0162 | 0.0162 | 0.0167 |
0.0155 | 0.0137 | 0.0155 | 0.0160 | 0.0148 | 0.0155 | |
MVE | 0.0062 | 0.0056 | 0.0063 | 0.0066 | 0.0058 | 0.0062 |
MVE-MV | 0.0014 | 0.0037 | 0.0015 | 0.0050 | 0.0028 | 0.0016 |
0.0067 | 0.0057 | 0.0067 | 0.0070 | 0.0063 | 0.0066 | |
PCA | 0.0031 | 0.0051 | 0.0033 | 0.0049 | 0.0039 | 0.0035 |
PCA-MV | 0.0019 | 0.0042 | 0.0021 | 0.0048 | 0.0031 | 0.0021 |
0.0025 | 0.0029 | 0.0021 | 0.0048 | 0.0027 | 0.0021 |
"
模型 | 样本内 | 样本外 | ||||
---|---|---|---|---|---|---|
FF3 | C4 | FF5 | FF3 | C4 | FF5 | |
FF3-MV | 0.0222*** | 0.0220*** | 0.0276*** | 0.0307*** | 0.0304*** | 0.0363*** |
(3.8420) | (3.8090) | (4.7230) | (2.8020) | (2.8540) | (3.5140) | |
C4-MV | 0.2122*** | 0.2225*** | 0.2209*** | 0.2342*** | 0.2383*** | 0.2260*** |
(9.1940) | (12.2490) | (9.2880) | (3.8720) | (5.0100) | (3.8930) | |
FF5-MV | 0.1560*** | 0.1547*** | 0.1462*** | 0.1897*** | 0.1887*** | 0.2002*** |
(10.8350) | (10.8090) | (9.9790) | (5.3020) | (5.4220) | (5.8600) |
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