Nội dung được dịch bởi AI, chỉ mang tính chất tham khảo
So sánh thực nghiệm các mô hình định giá tài sản trên thị trường chứng khoán A-Share Thượng Hải
Tóm tắt
Bài báo này đánh giá và so sánh hiệu suất của ba mô hình định giá tài sản—mô hình định giá tài sản vốn của Sharpe (J Finance 19:425–442, 1964), mô hình ba yếu tố của Fama và French (J Financ Econ 33:3–56, 1993), và mô hình năm yếu tố (Fama và French trong J Financ Econ 123:1–22, 2015)—trên thị trường chứng khoán A-Share Thượng Hải. Kết quả của chúng tôi không ủng hộ sự ưu việt của mô hình năm yếu tố và cho thấy mô hình ba yếu tố vượt trội hơn so với các mô hình còn lại. Chúng tôi cũng xác minh tính dư thừa của yếu tố giá trị sổ sách so với giá thị trường và xác nhận các phát hiện của Fama và French (2015).
Từ khóa
Tài liệu tham khảo
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