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.
| Main Authors: | , |
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| Format: | Article |
| Language: | zho |
| Published: |
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 |