On the Cross-Sectional Risk Premium of Chinese Stock Market
基于1997至2009年月度超额收益数据，构建了一个八因子模型，比Fama-French三因子模型更好地解释了中国A股市场的横截面风险溢价，发现回购利率和期限利差具有强解释力。
Based on various asset pricing theory and empirical study on multifactor model,the paper empirically studies the cross-sectional differences of the Chinese stock market risk premium of A share by using monthly stock excess returns from 1997 to 2009,and establish an eight-factor model which performs better than Fama-French three factor model both statistically and economically.The eight factors include market risk premium, HML from Fama-French 3 factors model,earnings-price ratio,cashflow-price ratio,investment-capital ratio, industrial growth,Repo rate,and interest rate term spread.The main contributions are:first,the authors identify a multifactor model that accounts for cross-sectional risk premium of Chinese stock markets better than Fama -French three factors model;second,different from previous studies on Chinese A share prices,it is found that Repo rate and term spread have strong explanatory power;third,consistent with investment based asset pricing model,it is found that investment-capital ratio and cashflow-price ratio can significantly affect the stock risk premium.