| 上海股票市场的FF三因子模型 |
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| 引用本文： | 孟庆顺. 上海股票市场的FF三因子模型[J]. 北华大学学报(社会科学版), 2004, 5(3): 79-80,F003 |
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| 作者姓名： | 孟庆顺 |
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| 作者单位： | 吉林大学,数量经济研究中心,吉林,长春,130012 |
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| 摘 要： | FF三因子模型是法玛和弗兰切在1993年提出的资产定价理论,本文研究它对于上海股市的适用性.针对上证180指数样本股建立三因子模型,并进行了检验,结果表明:FF三因子模型对于上海股市是基本适用的.
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| 关 键 词： | FF三因子模型 上证180 最小二乘法 |
| 文章编号： | 1009-5101(2004)03-0079-03 |
| 修稿时间： | 2004-03-16 |
FF Three -Factor Model in Shanghai Stock Market |
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| MENG Qing-shun. FF Three -Factor Model in Shanghai Stock Market[J]. , 2004, 5(3): 79-80,F003 |
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| Authors: | MENG Qing-shun |
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| Abstract: | FF three -factor model is an important model in asset pricing theory, which was constructed by Fama and French in 1993. Whether it can be used in Chinese stock market is a keystone in our paper. We built a FF three -factor model with samples from Shanghai 180 index and then we tested the models. Our conclusion is that FF three -factor model is applicable to Chinese stock market |
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| Keywords: | FF three -factor model Shangzheng 180 Ordinary least squares |
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