Risk and Characteristics Factors in China's A-share Stock Returns
研究中国A股市场中影响股票收益的因素，发现市值和市盈率有显著解释力，杠杆率作用随时间变化，而其他变量无效；市值因子兼具风险和特征成分，市盈率因子不代表系统性风险。
The paper studies the factors affecting cross sectional returns in China's A-share stock market.After comprehensively examining the performance of beta,size,price-earnings ratio,book-to-market ratio,leverage ratio,and float ratio portfolios,the authors found the robust and significant effect of size,price-earnings ratio on the stock returns.Leverage ratio also helps explain the stock returns but the effect varies over time periods.The remaining variables do not help explain the stock returns.It is also found that the aggregate market return,size, and price-to-earnings ratio capture over 90%of the variations in cross sectional stock returns.These three factors differ from the three factors in the U.S.market.Moreover,the authors prove that the size factor has both a risk component and a characteristics component,while the price-to-earnings factor does not represent systematic risks.