金融科技对商业银行冲击的研究——基于Fama-French五因子模型.pdf

摘 要 近年来，金融科技迅速发展，大批金融科技类企业纷纷尝试与传统商业银行 展开密切的业务合作往来，指引了金融与科技融合发展的新方向。本文试图探究 金融科技的发展是否对传统银行体系造成了一定冲击，以及这一影响是否能够通 过上市银行的超额回报率来体现出来。本文主要利用Fama-French 五因子模型来 估计预期超额回报率，通过计算上市银行实际超额回报率与预期超额回报率的差 额，得出股票异常收益率数据，从而获得累积平均异常收益率。文章对累积平均 异常收益率进行分析，观察上市银行与金融科技互动事件频发时间点前后，窗口 期的累积平均异常收益率是否有较为明显的大幅度波动，来讨论这一时点前后股 票是否存在异常超额回报，从而确定金融科技的发展是否会对传统商业银行产生 一定的影响。研究发现，金融科技的发展确实会在一定程度上影响商业银行的股 票超额回报率，且这一影响趋势的正负并不能脱离金融监管的大环境而独自存在。 关键词 金融科技；商业银行；五因子模型；累积平均异常收益率 Abstract In recent years, with the rapid development of financial technology, many fintech enterprises have tried to carry out close business cooperation with traditional commercial banks, which has guided the new direction of the integration of finance and technology. This paper attempts to explore whether the development of fintech has caused a certain impact on the traditional banking system, and whether this impact can be reflected by the excess return rate of listed banks. In this paper, Fama French five factor model is used to estimate the expected excess return rate. By calculating the difference between the actual abnormal return and the expected abnormal return of listed banks, we can get the data of abnormal return of stock, and then get the cumulative average abnormal return (CAAR). This paper analyzes the CAAR and observes whether the CAAR in the window period fluctuates significantly before and after the time point of frequent interaction between listed banks and fintech, to discuss whether there is abnormal excess return in the stock before and after this time point, so as to determine whether the development of financial science and technology will have a certain impact on traditional commercial banks. It is found that the development of financial technology will indeed affect the excess return rate of commercial banks to a