摘要
采用股票期望收益率估计的单因素和三因素模型对上证所A股股票投资组合的期望收益率估计进行了实证分析。在此基础上得出,用这两种模型来对股票期望收益率进行估计时各有优劣,从而为进一步探求合适的股票期望收益率估计模型提供了一定的参考依据。
The empirical research of one-factor model and three-factor model for portfolio is discussed in this paper. On this basis, we can conclude that both CAPM and Fama-French models are not the rational methods for estimation of expected return for stock returns. All of these can be available as reference to the follow-up research.
出处
《陕西工学院学报》
2004年第3期75-79,共5页
Journal of Shaanxi Institute of Technology
基金
西北工业大学研究生创业种子基金(Z20040066)资助。
