JFE最新论文：Fama认可的中国三因子模型来了！

原创： Analytical 分析式会计研究 前天

本期向大家推荐一篇国际顶级期刊 JFE 即将刊出的一篇论文，该文研究了资产定价的中国三因子模型，论文从投稿到接受仅用了一个多月，Referee为Fama大神，可谓奇文一篇。令会计小编惊喜的是，该文的最重要研究发现认为，除了β和size之外，earnings-price ratio 比 book-to-market ratio 更能抓住中国资本市场的价值效应，这显然是一篇会计论文嘛！论文也引用了不少会计论文，甚至是中文会计论文！具体如下：

Journal of Financial Economics

Available online 15 March 2019

In Press, Accepted Manuscript

Size and Value in China

Jianan Liu

The Wharton School, University of Pennsylvania

Robert F. Stambaughad

The Wharton School, University of Pennsylvania & NBER

Yu Yuan

Shanghai Mingshi Investment Co., Ltd. & Wharton Financial Institutions Center, University of Pennsylvania

Abstract

We construct size and value factors in China. The size factor excludes the smallest 30% of firms, which are companies valued significantly as potential shells in reverse mergers that circumvent tight IPO constraints. The value factor is based on the earnings-price ratio, which subsumes the book-to-market ratio in capturing all Chinese value effects. Our three-factor model strongly dominates a model formed by just replicating the Fama and French (1993) procedure in China. Unlike that model, which leaves a 17% annual alpha on the earnings-price factor, our model explains most reported Chinese anomalies, including profitability and volatility anomalies.

Keywords

China

Size

Value

Factors

Anomalies

JEL classification

G12

G14

G15

https://doi.org/10.1016/j.jfineco.2019.03.008

☆ We are grateful for comments from the referee (Eugene Fama), Jules van Binsbergen, Danting Chang, Zhi Da, Zhe Geng, Dong Lou, Amir Yaron, Jianfeng Yu, seminar participants at the Wharton School, and conference participants at the 2018 Johns Hopkins Carey Finance Conference.

© 2019 The Authors. Published by Elsevier B.V.

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