中美市场的长期α与β (The Long Term α and β of Chinese and US Market)

8 Pages Posted: 9 Sep 2019

See all articles by Ruozhou Liu

Ruozhou Liu

Peking University - Guanghua School of Management; Harvest Fund Management Co., Ltd.

Xuejun Zhao

Harvest Fund Management Co., Ltd.

Zili Zhang

Harvest Fund Management Co., Ltd.

Date Written: January 11, 2019

Abstract

Chinese Abstract: 本文对比了中国与美国股票市场的长期β与α。实证结果显示,从长期来看,美国股市全市场的β在6%-7%之间,中国股市全市场的β在5%左右。相比中国市场,美国股市的β更高,波动率更低。美国股票型共同基金的年化超额收益α在-1%至-2%之间。美国市场高度成熟,早在1945年-1965年期间,股票型共同基金就已经无法在市场上获得超额收益α了。中国市场的年化β为6.53%,同期普通股票型公募基金的年化α为4.78%,偏股混合型公募基金的年化α为2.98%。相比高度成熟的美国市场,机构投资者仍可以在中国市场上获得超额收益。

English Abstract: This paper compares the long-term β and α of the Chinese and US stock markets. The empirical results show that in the long run, the β of the US stock market is between 6% and 7%, and the β of the Chinese stock market is around 5%. Compared with the Chinese market, the US stock market has a higher β and a lower volatility. The annualized excess return α of US equity mutual funds is between -1% and -2%. The US market is highly efficient: as early as 1945-1965, stock mutual funds were unable to obtain excess returns. The annualized β of the Chinese market is 6.53%. In China, the annualized α of stock mutual funds is 4.78%, and the annualized α of blended mutual funds is 2.98%. Institutional investors can still get excess returns in the Chinese market compared to the highly efficient US market.

Note: Downloadable document is in Chinese.

Keywords: Equity risk premium; Beta; Alpha; stock market

JEL Classification: G14

Suggested Citation

Liu, Ruozhou and Zhao, Xuejun and Zhang, Zili, 中美市场的长期α与β (The Long Term α and β of Chinese and US Market) (January 11, 2019). Available at SSRN: https://ssrn.com/abstract=3406737 or http://dx.doi.org/10.2139/ssrn.3406737

Ruozhou Liu (Contact Author)

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

Harvest Fund Management Co., Ltd. ( email )

Beijing
China

Xuejun Zhao

Harvest Fund Management Co., Ltd. ( email )

Beijing
China

Zili Zhang

Harvest Fund Management Co., Ltd.

Beijing
China

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