期刊文献+

Fama-French三因素模型的实证研究——以华夏大盘基金为例 被引量:2

在线阅读 下载PDF
导出
摘要 在资本资产定价模型(CAPM)对资产收益率变动缺乏解释力的背景下,法玛(Fama)和弗伦奇(French)于1993年提出了著名的三因素资产定价模型,从风险收益角度出色地解释了股票超额收益率现象。本文以华夏大盘基金及其数据为例,运用Eviews软件对其进行三因素模型的实证研究,检验三因素模型在华夏大盘基金上的适用性。
作者 王亚飞
出处 《中国市场》 2012年第39期44-45,87,共3页 China Market
  • 相关文献

参考文献1

二级参考文献18

  • 1[4]Black F. Capital Market Equilibrium With Restricted Borrowing [J]. Journal of Business, 1972,45: 444 ~455
  • 2[5]Chui A C W, Wei K C J. Book-to-market, Firm Size and the Turn-of-the-year Effect: Evidence From Pacific Basin Emerging Markets[J]. Pacific Basin Finance Journal, 1998,6:275~293
  • 3[6]Daniel K, Titman S. Evidence on the Characteristic of Cross Sectional Variation in Stocks Returns[J].Journal of Finance, 1997,52:1~33
  • 4[7]Davis J L, Fama E F, French K R. Characteristics,Covariance and Average Returns: 1929 to 1997[J].Journal of Finance, 2000, 55:389~406
  • 5[8]Drew M E, Veeraraghavan M. Explaining the Crosssection of Stock Returns in the Asian Region[J]. International Quarterly Journal of Finance, 2001, 1:205~221
  • 6[9]Drew M E, Veeraraghavan M. A Test of the FamaFrench Three Factor-factor Model in the Australian Equity Market[J]. Accounting, Accountability and Performance, 200la, 8: 77~ 92
  • 7[10]Fama E F. Efficient Capital Market Ⅱ [J]. Journal of Finance, 1991,46:1575~1617
  • 8[11]Fama E F, French K R. The Cross-section of Expected Stock Returns[J]. Journal of Finance, 1992,47:427~625
  • 9[12]Fama E F, French K R. Common Risk Factors in the Returns on Stocks and Bonds[J]. Journal of Financial Economics, 1993,33 :3~ 56
  • 10[13]Fama E F, French K R. Multifactor Explanations of Asset Pricing Anomalies[J]. Journal of Finance,1996,51:55~84

共引文献45

同被引文献10

引证文献2

二级引证文献1

相关作者

内容加载中请稍等...

相关机构

内容加载中请稍等...

相关主题

内容加载中请稍等...

浏览历史

内容加载中请稍等...
;
使用帮助 返回顶部