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

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.