three-factor model

The coefficient of three-factor model is an important systemic risk guideline of investment object .

三因素模型回归系数是测度投资对象系统风险的重要指标。

They put forward a three-factor model to explain the cross-section of expected returns changes .

他们提出来一个由市场、规模和账面/市值三因素模型来解释预期股票收益的横截面变化。

Three-Factor Model With Time-Varying and Risk Premium in Chinese Stock Market

中国股票市场的三因子时变风险溢价模型研究

Trading volume , ratio A-shares to total shares , momentum effects and three-factor model

交易额、A股比例、势效应和三因子模型

Three-factor model can describe cross-section of stock returns changes better than the CAPM model .

三因素模型比CAPM能更好地描述股票横截面收益的变化。

The empirical research of one-factor model and three-factor model for portfolio is discussed in this paper .

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。

From CAPM model to three-factor model , it is a great leap of capital pricing model .

从CAPM模型到三因素模型，是资产定价模型的巨大飞跃。

Fourthly , I use Fama-French three-factor model to identify mutual fund investment style and investigate the style consistency of mutual fund .

第四，本文利用Fama-French三因子模型来识别基金的投资风格并对基金的投资风格持续性进行了研究。

According on results of empirical study and three elements theory of higher education organization , the three-factor model of college student development , from perspective of learning , is set up .

本研究依据实证研究结果，根据高等教育组织三要素理论，构建了以学习为视角的大学生发展三要素模型。

Therefore , CAPM model and the Fama-French three-factor model can not fully explain the momentum strategy and reverse the profit performance of investment strategies .

所以CAPM模型和Fama-French三因子模型无法完全解释动量策略及反向投资策略的利润表现。

Their empirical research shows that three-factor model is good at explain stock returns , but it is difficult to explain the meaning of the model variables from economics .

他们的实证研究表明，三因子模型对股票收益率的解释作用较强，缺陷是很难从经济学上解释模型中变量的含义。

In our conclusion , FF three-factor model is supported by Chinese stock market , where the existence of three factors is statistical significant , but not obvious at all time .

笔者认为，FF三因子模型在我国股票市场是成立的，三个因子的存在是显著的，但并不是在所有时段均具有明显效应。

The result of APT 's test is : three-factor model may be suitable for Shanghai Stock Exchange market , and the first two factors are obvious while the third one is not .

对套利定价模型检验的结论是：三因子模型可能是普遍适用的，其中前两个因子是显著的，但第三个因子不显著。

So lots of historic datas are used to estimate the parameters in FF three-factor model . Then the model 's abilities of explanation are evaluated in this paper .

并且利用历史数据对FF三因子模型的参数进行了估算，并对其解释能力进行了评估，保证了FF三因子模型可行。

Test results showed that in the domestic three-factor model could better verify the theoretical concept , the construction of three factors were named as personality factors , organizational environment factors , management systems factor .

检验的结果表明在国内用三因子模型能够较好的验证理论构想，所构建的三因子分别被命名为人格因子、组织环境因子、管理制度因子。

Based on the empirical relations between different Chinese cross-sectional returns , unconditional Fama French three-factor model was improved by constructing new unconditional three factor model and new unconditional four factor model . 5 .

依据我国股市中各横截面收益现象间的联系，通过构造新因子来形成新的无条件三因子、四因子模型以对原有的无条件FF三因子模型进行改进。

We research the stability of the three-factor Model by using chow test and research the coefficient stationary by using unit root test , and forecast the coefficient of the model using ARMA , GARCH model .

我们利用chow检验对证券收益三因素模型结构的稳定性进行了分析研究，用ADF检验对模型的三个回归系数的稳定性进行了实证分析，运用ARMA和GARCH模型对回归系数的预测能力进行了研究。

For example , in the analysis of early warning and control of fiscal risk , a three-factor model for evaluation of fiscal risk , based on AHP analysis method , is proposed and applied to the real data .

比如在财政风险预警和控制中，提出了基于AHP分析法的财政风险评估的三因素模型，并用实际数据进行了定量分析和风险树模型的应用；

By the way of confirmatory factor analysis ( CFA ), three-factor model was fitted well across each age group , which named as crystallized intelligence factor , fluid intelligence factor , and memory-attention factor .

整个常模样本和各年龄组验证性因素分析的结果显示，三因素（晶体智力因子、流体智力因子、记忆注意因子）模型拟合最佳。

The second t-test , test net of transaction costs and net market risk , after deducting the handling of market risk , mainly according to the Fama French model , the three-factor model fit the A-share market .

第二个t检验，检验扣除交易费用和扣除市场风险的情况下，扣除交易市场风险的处理，主要是通过根据FamaFrench模型，拟合A股市场的三因素模型来完成的。

We find that the three-factor model is unsuitable for Chinese security market instead . A two-factor mod - el , which includes market risk factor and other system risk factor related size , captures cress-sectional stock price behavior .

结论认为，三因素模型在我国不能成立，而且，一个包括市场风险和与规模相关的其它风险因素的三因素模型较好描述了横截面股票价格行为。

The main contents of this paper are as follows : ( 1 ) We augment Fama-French three-factor model by building the liquidity level factor to set up four-factor model and examine the asset-pricing role of liquidity level .

主要内容包括如下几个方面：（1）对Fama-French三因子模型进行流动性扩展，研究了流动性水平与资产定价的关系。

At last I design several investment strategies of non-life insurance company , and simulate them respectively in DFA with FF three-factor model . By analyzing the result , it comes to several suggestions when non-life insurance companies make asset investment strategy .

最后本文设计多种产险公司投资策略并应用DFA（FF三因子模型）一一对其进行模拟，通过对相关结果的分析，得出对产险公司资产投资策略制定的几个建议。

To verify whether the excess profit is only relevant to operating cash flow , this thesis employs the standard capital asset pricing model , the Fama and French three-factor model to verify whether the excess profit is also influenced by market risk factors .

为了验证这个投资组合的超额收益是否只与现金流量有关，本文进一步利用标准资本资产定价模型、Fama和French（1993）三因素模型，检验这个超额收益是否与市场风险因子有关。

Based on this test results , Fama & French separate the size of the market value and the book market value factors with an extremely clever introduction of the scale factor , book market value ratio factor , the market portfolio factor , the three-factor model was constructed .

依据这一检验结果，Fama&French将规模因素与账面市值比因素加以分离，极为精巧地引入了规模因子、账面市值比因子，与市场组合因子一起构建了三因子模型。

Using the Buy-and-hold abnormal return , Cumulative abnormal returns and Fama-French three-factor model as three indicators constant , by comparing the approval system and approval system under the IPO pricing efficiency , to illustrate the affection of the Stock Offering System reform on the efficiency of IPO pricing .

采用了买入持有超额收益、累计超额收益和Fama-French三因素模型的常数项三个指标，通过对比审批制和核准制下的新股发行定价效率，来说明发行制度改革对IPO定价效率的作用。

A Research of Knowledge Transfer Based on the Three-factor Trust Model

基于三因素信任模型的知识传递研究

Based on this result , we develop a three-factor affine model and deduce the formula for pricing bonds .

由此我们建立了一个三因子仿射模型，并给出债券的定价公式。

Study found that the content representation of the mind wandering can be subdivided into situational representation , voice representation and non-voice semantic represention , the latter two , respectively , in accordance with auditory and visual representation representation , this constitutes a three-factor questionnaire Model .

研究发现，心智游移的内容表征形式可以细化为情景性表征、声音表征和非声的语义表征三种类型，后两者分别为语义表征中听觉表征和视觉表征，问卷以此构成了三因素模型。

An Empirical Analysis of the Dynamic Three-Factor Asset Pricing Model in China 's Security Market

中国股票市场动态三因素资产定价模型的实证分析