Investment Value Analysis of GEM Enterprises Based on Three Factor Model
余海若 YU Hai-ruo
（河南财经政法大学金融学院，郑州 450007）
（School of Finance，Henan University of Economics and Law，Zhengzhou 450007，China）
摘要： 科创板自2019年7月22日开市以来，受到各界的强烈关注。它主要服务于科技创新型中小企业。首次采用注册制的科创板被很多学者认为是中国的纳斯达克（NASDAQ），研究科创板企业的投资价值具有重要意义。本文将以创业板市场的部分样本公司为研究对象，运用Fama-French三因子模型进行回归检验；同时在主板市场选取一定的样本进行回归检验，将其实证结果与创业板的实证结果相比较，试图从实证角度回答Fama-French三因子模型对我国创业板市场的适用性，以及能否勾勒出我国创业板市场的风险收益特征。实证结果表明市场风险因子、规模因子在我国创业板市场具有显著性，账面市值比因子却没有很好的显著性。总体来说，Fama-French三因子模型还是比较适合我国创业板市场，能够解释很大一部分的股票超额收益率。
Abstract: Since its opening on July 22, 2019, the science and innovation board has attracted strong attention from all walks of life. It mainly serves small and medium-sized scientific and technological innovation enterprises. Many scholars believe that the science and innovation board, which adopts the registration system for the first time, is China's NASDAQ. It is of great significance to study the investment value of science and Innovation Board enterprises. This paper will take some sample companies in gem as the research object, and use Fama French three factor model for regression test; At the same time, select a certain sample in the main board market for regression test, compare the empirical results with the empirical results of the gem, and try to answer the applicability of Fama French three factor model to China's GEM market from an empirical perspective, and whether it can outline the risk return characteristics of China's gem market. The empirical results show that the market risk factor and scale factor are significant in China's gem, but the book to market value ratio factor is not very significant. In general, Fama French three factor model is more suitable for China's GEM market and can explain a large part of the stock excess return.
关键词： 科创板；投资价值；Fama-French三因子模型
Key words: GEM Enterprises；investment value；FF 3 factors model
中图分类号：F275 文献标识码：A 文章编号：1006-4311（2021）32-025-04
DOI:10.3969/j.issn.1006-4311.2021.32.008.
文献出处：余海若. 基于三因子模型的创业板企业投资价值分析[J]. 价值工程,2021,40(32):25-28.
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