This paper provides a stringent proof for the general test of latent variable model with time-varying risk premium developed by Ferson and Foerster(1993) and conducts a test by selecting “the size portfolio” as samp...This paper provides a stringent proof for the general test of latent variable model with time-varying risk premium developed by Ferson and Foerster(1993) and conducts a test by selecting “the size portfolio” as sample in Chinese stock market.The Block-Bootstrap method is also adopted to study the finite sample properties of GMM.The result reveals that the Block-Bootstrap simulation of GMM is robust and P-value based on asymptotic distribution tends to be underestimated.The empirical result shows that the China’s stock market can not reject the “ 1 latent variable model”.The conclusion of this paper manifests the essence of risk and return in the China’s stock market and has great significance to the policy-making.展开更多
为了考察入学过渡期高中新生主观社会地位(subjective social status,SSS)的变化轨迹及人格在其中的作用,本研究对546名高一新生进行了历时4个月的4次追踪测试。基于潜变量增长模型的分析结果显示:(1)SSS呈阶段化线性增长,且个体间差异...为了考察入学过渡期高中新生主观社会地位(subjective social status,SSS)的变化轨迹及人格在其中的作用,本研究对546名高一新生进行了历时4个月的4次追踪测试。基于潜变量增长模型的分析结果显示:(1)SSS呈阶段化线性增长,且个体间差异显著;(2)人格中的外倾性、宜人性、责任心和开放性均能显著预测SSS的初始水平;(3)外倾性、宜人性和神经质对SSS的第一阶段变化速度有显著预测作用。结果表明,SSS会在新生入学后1个月内初步形成,且人格与其变化轨迹有关。展开更多
文摘This paper provides a stringent proof for the general test of latent variable model with time-varying risk premium developed by Ferson and Foerster(1993) and conducts a test by selecting “the size portfolio” as sample in Chinese stock market.The Block-Bootstrap method is also adopted to study the finite sample properties of GMM.The result reveals that the Block-Bootstrap simulation of GMM is robust and P-value based on asymptotic distribution tends to be underestimated.The empirical result shows that the China’s stock market can not reject the “ 1 latent variable model”.The conclusion of this paper manifests the essence of risk and return in the China’s stock market and has great significance to the policy-making.
文摘为了考察入学过渡期高中新生主观社会地位(subjective social status,SSS)的变化轨迹及人格在其中的作用,本研究对546名高一新生进行了历时4个月的4次追踪测试。基于潜变量增长模型的分析结果显示:(1)SSS呈阶段化线性增长,且个体间差异显著;(2)人格中的外倾性、宜人性、责任心和开放性均能显著预测SSS的初始水平;(3)外倾性、宜人性和神经质对SSS的第一阶段变化速度有显著预测作用。结果表明,SSS会在新生入学后1个月内初步形成,且人格与其变化轨迹有关。
