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| F-F三因子资产定价模型的扩展及其实证研究 | |
| 引用本文： | 王源昌,汪来喜,罗小明. F-F三因子资产定价模型的扩展及其实证研究[J]. 金融理论与实践, 2010, 0(6) |
| 作者姓名： | 王源昌 汪来喜 罗小明 |
| 作者单位： | 1. 云南师范大学,数学学院,云南,昆明,650092 2. 河南工业大学,经贸学院,河南,郑州,450001 3. 华泰证券,南昌营业部,江西,南昌,330000 |
| 摘 要： | 针对中国证券市场的特征,本文引入会计指标市盈率、技术指标换手率,对标准F-F三因子模型进行了不同层面的改进。实证结果表明,标准F-F三因子定价模型基本能解释中证100样本股相应组合的周回报率,但效果不是很好;换手率高低对组合收益率的解释能力并不优于标准模型,但换手率与市盈率同时进入模型,却能有效提高周收益率的解释,是一个基本适合中国股市的资产定价模型。 |
| 关 键 词： | F-F三因子定价模型 换手率 市盈率 |
Extension of Fama-French Three Factors Asset Pricing Model and related Empirical Research |
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| Wang Yuan-chang , others. Extension of Fama-French Three Factors Asset Pricing Model and related Empirical Research[J]. Financial Theory and Practice, 2010, 0(6) | |
| Authors: | Wang Yuan-chang others |
| Affiliation: | Wang Yuan-chang , others |
| Abstract: | This paper analyzes the adaptability of Fama-French Three Factors Asset Pricing Model conducted in China.The empirical outcome indicates that F-F Three Factors Asset Pricing Model can be used to basically interpret the correspond portfolios' weekly return rate of Zhongzheng 100 sample shares,but with bad outcome.Aiming at the characteristics of Chinese securities business,accounting index price/earning rate,technology index trading volume rate are introduced to improve the standard Fama-French Three Factors... |
| Keywords: | Three Factors Asset Pricing Model Trading Volume Rate Price/earning Rate |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |