CVaR与资产截面收益--来自我国A股的经验证据

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1、目录第1章导论..................................................................................................................11.1研究背景与意义.................................................................................................11.1.1研究背景.....................................

2、..........................................................11.1.2研究意义...............................................................................................21.2文献综述.........................................................................................................

3、....31.3研究内容.............................................................................................................61.4创新与不足.........................................................................................................8第2章数据与方法................................

4、......................................................................92.1数据与变量.........................................................................................................92.2实证方法....................................................................................

5、......................102.2.1横截面方法........................................................................................112.2.2时间序列方法....................................................................................11第3章CVaR与股票收益关系.........................................

6、..........................................13第4章左尾CVaR与股票截面收益..........................................................................204.1基于Fama-MacBeth方法的截面回归.............................................................204.2稳健性检验.............................................

7、..........................................................25-...............................................................................254.2.1多标度度量CVaR4.2.2二重交叉分组.....................................................................................284.2.3剔除极端股票...........

8、....................................................................