三因素模型在中国证券市场的实证分析

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1、-ABSTRACTadoptempiricaldatatesttheinvestmentresult.Wegaintheindustryinvestmentpropositionthoughtadjustingandcontrollingthefactorvector,combinedwithriskbudgeting,thencontrollingtheinvestmentportfolio’sreturnandrisk.Ourresearcheshaveimportanttheoreticalandp

2、racticalvaluation,providessomeconditionfortheselection、forecast、riskbudgeting、anddecisionofinvestmentportfolios.Keywords:three-factormodel,industry,montheffect,portfolio,forecast,riskbudget,GARCH,investmentdecision.IV---目录目录第一章引言..........................

3、.......................................................................................1 1.1分析背景、目的和意义........................................................................................1 1.2国内外分析现状.....................................................

4、...............................................2 1.2.1国外分析现状.................................................................................................2 1.2.2国内分析现状.....................................................................................

5、............4 1.3主要内容、结构和创新之处................................................................................4 第二章组合三因素模型的实证分析.........................................................................7 2.1样本的选取及数据处理.........................................

6、...............................................7 2.1.1规模组合.........................................................................................................7 2.1.2变量的计算方法..............................................................................

7、...............8 2.1.3组合三因素模型.............................................................................................8 2.2组合的三因素模型的实证分析............................................................................8 2.3中国新年效应的检验.........................

8、..................................................................11 2.4组合三因素模型回归系数的稳定性分析..........................................................12 2.5组合三因素模型的预测能力分析................................................