摘要
Fama-French三因素模型比资本资产定价模型更好地描述了股票收益率横截面数据的变动,采用最新的股票数据(2000.01～2003.12)并运用Fama-French的三因素模型对每个行业的平均回报率进行了检验。论证了行业收益的三因素模型在我国证券市场上是成立的,同时检验了我国证券市场上每个行业是否有“月度效应”现象。实证结果为风险预算过程中的战略风险预算和风险控制提供了可靠依据,同时为投资组合选择、预测、决策及其业绩评价提供了一定的依据。
The three factor-factor Model, established by Fama-French, is considered to describe cross-sectional stock returns better than CAPM. Based on the newest 48-month stock data from 01 2000 to 12 2003, we research and test the model of industry. We found the model is suitable for Chinese Industry Stock Market. At the same time, we test the ‘month effect’. Our researches have important theoretical and practical valuation, provides some condition for risk budgeting and the selection,forecast,and decision of investment portfolios.
出处
《系统工程理论方法应用》
北大核心
2005年第3期226-230,234,共6页
Systems Engineering Theory·Methodology·Applications
基金
四川省软科学研究重点资助项目(032R025-017)
关键词
三因素模型
证券市场
月度效应
组合
行业
风险预算
three factor-factor model
stock market
month effect
portfolio
industry
risk budgeting
