Fama-French三因子计算过程说明

整理文档很辛苦,赏杯茶钱您下走!

免费阅读已结束,点击下载阅读编辑剩下 ...

阅读已结束,您可以下载文档离线阅读编辑

资源描述

Fama-French1000871CSMAR19901990199219982001CSMARA19901219A199107031211(Sgnyea='B')2Sgnyea='A'B2t-11231(Book-to-marketratioBM)t430(SIZE)t5t14(1)SIZESmall,Big(2)BM30%(Growth)40%(Neutral)30%(Value)SmallGrowth,SmallNeutral,SmallValue,BigGrowth,BigNeutral,BigValue(Msmvttl)BMSIZE3t430t5t141SAS9.12CSMAR(Mretwd)4SMBHMLSMB=1/3(SmallValue+SmallNeutral+SmallGrowth)1/3(BigValue+BigNeutral+BigGrowth)HML=1/2(SmallValue+BigValue)1/2(SmallGrowth+BigGrowth)5(Rm-Rf)()(Cmretwdtl)FamaE.F.,K.R.French,Commonriskfactorsinthereturnsonstocksandbonds,1993,JournalofFinancialEconomics,Vol.33,3-56FamaE.F.,K.R.French,MultifactorExplanationsofAssetPricingAnomalies,1996,JournalofFinance,vol.51,55-84

1 / 2
下载文档,编辑使用

©2015-2020 m.777doc.com 三七文档.

备案号:鲁ICP备2024069028号-1 客服联系 QQ:2149211541

×
保存成功