Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用)
利用近3年的中国债券市场数据,建立了Fama-French多因子模型,并利用多元回归方法进行了比较分析.结果表明, TERM-DEF两因子模型有着较好的适用性,但存在进一步改进的空间.
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| Format: | Article |
| Language: | zho |
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Zhejiang University Press
2010-07-01
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| Series: | Zhejiang Daxue xuebao. Lixue ban |
| Subjects: | |
| Online Access: | https://doi.org/10.3785/j.issn.1008-9497.2010.04.007 |
| _version_ | 1797236193811759104 |
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| author | LIUGui-mei(刘桂梅) YANGChen(杨晨) |
| author_facet | LIUGui-mei(刘桂梅) YANGChen(杨晨) |
| author_sort | LIUGui-mei(刘桂梅) |
| collection | DOAJ |
| description | 利用近3年的中国债券市场数据,建立了Fama-French多因子模型,并利用多元回归方法进行了比较分析.结果表明, TERM-DEF两因子模型有着较好的适用性,但存在进一步改进的空间. |
| first_indexed | 2024-04-24T16:59:58Z |
| format | Article |
| id | doaj.art-dca06a88c17f4f528067052a564f981b |
| institution | Directory Open Access Journal |
| issn | 1008-9497 |
| language | zho |
| last_indexed | 2024-04-24T16:59:58Z |
| publishDate | 2010-07-01 |
| publisher | Zhejiang University Press |
| record_format | Article |
| series | Zhejiang Daxue xuebao. Lixue ban |
| spelling | doaj.art-dca06a88c17f4f528067052a564f981b2024-03-29T01:58:28ZzhoZhejiang University PressZhejiang Daxue xuebao. Lixue ban1008-94972010-07-0137439640010.3785/j.issn.1008-9497.2010.04.007Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用)LIUGui-mei(刘桂梅)0YANGChen(杨晨)1 1.Department of Information and Computing Science, Zhejiang University City College, Hangzhou 310015, China( 1.浙江大学城市学院信计系，浙江 杭州 310015) 1.Department of Information and Computing Science, Zhejiang University City College, Hangzhou 310015, China( 1.浙江大学城市学院信计系，浙江 杭州 310015)利用近3年的中国债券市场数据,建立了Fama-French多因子模型,并利用多元回归方法进行了比较分析.结果表明, TERM-DEF两因子模型有着较好的适用性,但存在进一步改进的空间.https://doi.org/10.3785/j.issn.1008-9497.2010.04.007fama-french模型金融危机债券市场多因子模型 |
| spellingShingle | LIUGui-mei(刘桂梅) YANGChen(杨晨) Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用) Zhejiang Daxue xuebao. Lixue ban fama-french模型 金融危机 债券市场 多因子模型 |
| title | Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用) |
| title_full | Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用) |
| title_fullStr | Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用) |
| title_full_unstemmed | Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用) |
| title_short | Application of Fama-French multi-factor model in China's bond market during recent financial crisis(金融危机下Fama-French多因子模型在中国债券市场的应用) |
| title_sort | application of fama french multi factor model in china s bond market during recent financial crisis 金融危机下fama french多因子模型在中国债券市场的应用 |
| topic | fama-french模型 金融危机 债券市场 多因子模型 |
| url | https://doi.org/10.3785/j.issn.1008-9497.2010.04.007 |
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