摘要
参照Fama和French鉴定美国股票市场三因素模型的方法 ,研究中国股票市场的资产定价模型。在中国股票市场 ,账面市场效应并不存在 ,但与规模相关的某种系统风险因素在股票定价中起到了重要作用。由此鉴定出中国股票定价的二因素模型。
With reference to the method of appraising the tri-factor model of American stock market by means of Fama and French , this paper studies the assets pricing model of China's stock market. In China's stock market, there is no book market effect, but a certain system risk factor relevant to the scale plays an important role in the stock pricing. On the basis of this, appraised has been the factor model of China's stock pricing.
出处
《当代经济科学》
CSSCI
北大核心
2002年第5期50-57,共8页
Modern Economic Science
基金
国家社会科学基金资助项目 (0 1BJY0 89)
