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200688:100026788(2006)0820017210(,515063):,,,,01410153,41%53%,50%.,,1,,,.GDP,,.:,.:;;;:F830191:AEmpiricalStudyofMulti2factorandThreeFactorPricingModelinChineseStockMarketSUCheng2jian(SchoolofBusiness,ShantouUniversity,ShantouCity,GuangdongProvince,Shantou515063,China)Abstract:ThispaperproposesaMulti2factorandaThreeFactorassetpricingmodels,andcarriesontheempiricalstudyofChinasstockmarket.Itisreportedthatmarketreturnessentiallyaffectsonindividualstockreturn,andissignificantlypositive,rangingfrom0141to0153.EPSexertsthestrongestpositiveinfluenceonstockprice,withthecoefficientcloseto1;whileGDPgrowthrate,moneysupply,depositinterestrate,inflationrate,savingamount,andloanamountexertsignificantnegativeinfluence.TheresultdemonstratesthatwecaneffectivelyfindoutthekeyfactorsofstockspricingbytheMulti2factormodel,whiletheThreeFactorModelcanpricethemwell.Keywords:multi2factormodel;theefactormodel;technicalfactor;liquidity:2005211214:,,,,,:.1CAPM(CapitalAssetPricingModel).Sharpe(1963,1964),Mossin(1966),Lintner(1965,1969)..(JohnLintner,1965),.(MertonMiller).(MyronScholes,1972)63110(19541963),.,;,(RichardRoll,1977):,500,.,,,,.,,,.CAPM,Ross(1976)APT(ArbitragePricingTheory).APT,CAPM,APT:;APT.RollRoss(1980)19621972,34.Chen,RollRoss(1986),.A.CraigMacKinlay(1995),,CAPM,,.,CAPM.,FamaFrench(1992)19621989BETA.BETA,.FamaFrench(1996)19631993,.BPM.,.ChuiWei(1998),Fama2French.,BPM,,BPM.Drew,NaughtonVeeraraghavan(2002)A,Fama-French,BPMA,,BPM,.,(2000),(2001),(2003),(2003),(2003),(2004),(2004),Fama2French,.(2004),..(1999)1993119983,,,,,.,,,Fama.,(2002),,.1995120009,,,.,,(2004),,,GDP,.,.,CAPMAPTFama2French(Chen2Roll2Ross),:(CAPMAPT)(Fama2French)8120068(Chen2Roll2Ross).,,,.:,APT,,(,,),((BPM)(SIZE),)(,)().,,.,.22111):,.,.,.,,,.:;;;.Fama(1992),,.,.,,.,.,,,,,..2),:,,.AmihudMendelson(1986,AM),,(clienteleeffect),;();.,.,.3)Chen,RollRoss(1986),,,,,,.,..,,.,.,,,..Chan(1986),.,,,..APT:918Rit=+1EPSit+2BVPSit+3SPSit+4BDMit+5SIZEit+6TURNOVERit+7OUTSHAREit+3ROINDEXt+9GDPt+10FIt+11IPt+12GBt+13It+it.(1)4):Rit1)()2)Pit(1+Fit+Sit)3Cit+Dit-Pi,t-1-Sit3Kit3CitPi,t-1+Sit3Kit3CitEPSitEPSit-EPSi,t-1EPSi,t-1BVPSitBVPSit-BVPSi,t-1BVPSi,t-1SPSitSPSit-SPSi,t-1SPSi,t-1BDMitBVi,t-1MVi,t-1SIZEitIN()IN()TURNOVERitP()OUTSHAREitROINDEXtINDEXt-INDEXt-1INDEXt-1GDPtGDPGDPt-GDPt-1GDPt-1FItFIt-FIt-1FIt-1IPtIPt-IPt-1IPt-1GBtLGBt-TBt-1ItGPIt-CPIt-121219912003.,.1.,1991122003128181%,36168%;400%,(60%).19912003,(1),2.,,7.2(1)t.:1),,01410153,41%53%,50%.,0150.2),,1,,,.3),,,0.2,0220068.1(eps)-0.0033-0.00201.1984-0.65550.0497(E)-0.00620.00381.5673-1.27290.0744(BM)0.28000.25401.4818-1.44010.1659(turnover)4.00263.242131.85100.12422.9345(Rm)0.0881-0.02611.8905-0.40980.3668(M1)0.17150.17670.38780.11850.0380(r)-0.1457-0.10000.2242-0.40000.1502(H)0.02830.03650.2013-0.15010.0383(I)0.01940.00390.2409-0.01410.0531GDP(GDP)0.08470.08300.14240.07140.0120(D)0.18960.19010.36710.13670.0542(L)0.15640.16900.26440.06010.059321234567-0.14333(-8.07)-0.31333(-31.51)-0.20333(-19.95)-0.25333(-26.16)0.04(1.49)-0.05333(-3.87)-0.05333(-4.30)(eps)1.01333(11.84)0.97333(11.73)0.98333(11.55)0.97333(11.42)1.00333(11.88)1.01333(12.19)1.06333(13.02)(E)0.18333(3.23)0.23333(4.23)0.19333(3.34)0.19333(3.45)0.20333(3.52)0.19333(3.38)0.18333(3.27)(BM)0.17333(7.05)0.21333(8.96)0.14333(6.05)0.19333(7.85)0.22333(8.93)0.30333(12.12)0.35333(14.41)(turnover)0.07333(42.20)0.06333(43.54)0.06333(39.30)0.07333(40.12)0.07333(43.64)0.07333(46.34)0.07333(48.08)(Rm)0.53333(42.96)0.44333(34.12)0.55333(42.26)0.50333(39.12)0.50333(40.28)0.46333(36.34)0.41333(32.79)(M1)-0.57333(-5.58)(r)-0.48333(-18.44)(H)-0.59333(-5.76)(I)-0.48333(-6.04)GDP(GDP)-3.60333(-10.91)(D)-1.31333(-17.57)(L)-1.63333(-24.86)AdjR20.550.570.550.550.560.570.59DW1.941.951.951.941.941.931.943331%4),,0107,,128,,,.(2004).5),,,,.6),,,.7):GDP,,,Chen,RollRoss(1986),.,(2003),GDP.3311,,,APT,:Rit=+IVIVit+TFTFit+TOTOit+eit,(2),Ritit,i=1,2,3,,n;IVit;IV;TFit;TF;TOit;TO.,,,,IVitTFit.,,,.,,.n,k,nk:X=X11X12X1kX21X22X2kXn1Xn2Xnk.(3)?,k,.,,,,.,?,,,.x1,x2,,xp,z1,z2,,zm(mp).z1=l11x1+l12x2++l1kxkz2=l21x1+l22x2++l2kxkzm=lm1x1+lm2x2++lmkxk.(4)(4),lij:1)zizj(ij;i,j=1,2,,m);2)z1x1,x2,,xp;z2z1x1,x2,,xp;;zmz1,z2,,zm-1x1,x2,,xp.2220068z1,z2,,zmx1,x2,,xk,,,m.,z1,z2,z3,,zm.,,,,.,xj(j=1,2,,k)zi(i=1,2,,m)lij(i=1,2,,m;j=1,2,,k),,x1,x2,,xpm.,:1)R=r11r12r1kr21r22r2krn1rn2rnk.(5)(5),rij(i,j=1,2,,k)xixj.2)|I-R|=0i(i=1,2,,k),,12,,k0;iei(=1,2,,k).3)zi:ikd=1d,:ld=1dkd=1d.85%95%1,2,,m,,,m(mk).4)z1xi(zl,xi),:Z=z11z12z1mz21z22z2mzn1zn2znm.(6)312312113(%)(%)Z12.0440.8140.81Z21.1021.9062.71Z30.8817.5980.30Z40.5811.6291.92Z50.408.08100.00199120038414,,,13477067.,.CCER,(http:PP).312125.spss53.,1,4.3284KMO01599015,.Z15,X1X4,.,Z1.4Z1Z2Z1Z2(X1)0.7980.190.464-0.011(X2)0.3820.7130.0990.476(X3)0.4250.5770.1530.362(X4)0.831-0.0280.528-0.187(X5)0.277-0.7270.319-0.618KMO0.599,Z2:Z2=017983X1+013823X2+014253X3+018313X4+012773X5.(7)5(%)(%)Z14.3554.4154.41Z21.5719.5773.98Z31.0412.9586.93Z40.516.3293.26Z50.384.7497.99Z60.101.2099.19Z70.050.6099.79Z80.020.21100.00,SPSS85.1,6.6KMO01599015,.Z3,X40193,X8-0150,,015