In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for mode...In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for model diagnostics. Model comparison is done with AIC. The results show Fama-French 5 factors are still alive. This new model in Zhou and Li (2016) [1] fits the data better than the one in Fama and French (2015) [2].展开更多
In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are c...In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are compared. Empirical results show the Fama-French 5 factors are still alive! The new model has better in-sample fit than the 5-factor model in Fama and French (2015).展开更多
CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuatio...CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuation techniques.Fama and French three factor model is perceived as a revision of CAPM,although it stills has severe weaknesses.CAPM theory solves relationship between asset return and asset risk for potential investment project by CML and SML.展开更多
It is universally acknowledged by network security experts that proactive peer-to-peer (P2P) worms may soon en-gender serious threats to the Internet infrastructures. These latent threats stimulate activities of model...It is universally acknowledged by network security experts that proactive peer-to-peer (P2P) worms may soon en-gender serious threats to the Internet infrastructures. These latent threats stimulate activities of modeling and analysis of the proactive P2P worm propagation. Based on the classical two-factor model,in this paper,we propose a novel proactive worm propagation model in unstructured P2P networks (called the four-factor model) by considering four factors:(1) network topology,(2) countermeasures taken by Internet service providers (ISPs) and users,(3) configuration diversity of nodes in the P2P network,and (4) attack and defense strategies. Simulations and experiments show that proactive P2P worms can be slowed down by two ways:improvement of the configuration diversity of the P2P network and using powerful rules to reinforce the most connected nodes from being compromised. The four-factor model provides a better description and prediction of the proactive P2P worm propagation.展开更多
I examine the ability of stock selection and time selection in the Chinese A-share Stock Market.I find that significant timing skill of the Chinese stock mutual funds on the HML factor,but not the SMB factor in the ti...I examine the ability of stock selection and time selection in the Chinese A-share Stock Market.I find that significant timing skill of the Chinese stock mutual funds on the HML factor,but not the SMB factor in the time period between 2003 and 2020.I construct the Fama-French model,4-factor model,Treynor-Mazuy model,and Henricksson-Merton model in the whole sample period between 2003 and 2020,as well as three sub-sample periods to examine the significance of different factors and how they perform in each sub-sample period.I also generate the cumulative return and average of the MOM factor.I find that the MOM factor’s average returns are more positive in the latest sub-sample period,from 2017 to 2020.展开更多
文摘In this paper, we analyze US stock market with a new 5-factor model in Zhou and Li (2016) [1]. Data we use are 48 industry portfolios (Jul. 1963-Jan. 2017). Parameters are estimated by MLE. LR and KS are used for model diagnostics. Model comparison is done with AIC. The results show Fama-French 5 factors are still alive. This new model in Zhou and Li (2016) [1] fits the data better than the one in Fama and French (2015) [2].
文摘In this paper, we empirically test a new model with the data of US services sector, which is an extension of the 5-factor model in Fama and French (2015) [1]. 3 types of 5 factors (Global, North American and US) are compared. Empirical results show the Fama-French 5 factors are still alive! The new model has better in-sample fit than the 5-factor model in Fama and French (2015).
文摘CAPM theory that solves relationship between asset return and asset risk for potential investment project by CML and SML,is illustrated in the first section as an introduction of further analysis of corporate valuation techniques.Fama and French three factor model is perceived as a revision of CAPM,although it stills has severe weaknesses.CAPM theory solves relationship between asset return and asset risk for potential investment project by CML and SML.
基金Project (No. 09511501600) partially supported by the Science and Technology Commission of Shanghai Municipality, China
文摘It is universally acknowledged by network security experts that proactive peer-to-peer (P2P) worms may soon en-gender serious threats to the Internet infrastructures. These latent threats stimulate activities of modeling and analysis of the proactive P2P worm propagation. Based on the classical two-factor model,in this paper,we propose a novel proactive worm propagation model in unstructured P2P networks (called the four-factor model) by considering four factors:(1) network topology,(2) countermeasures taken by Internet service providers (ISPs) and users,(3) configuration diversity of nodes in the P2P network,and (4) attack and defense strategies. Simulations and experiments show that proactive P2P worms can be slowed down by two ways:improvement of the configuration diversity of the P2P network and using powerful rules to reinforce the most connected nodes from being compromised. The four-factor model provides a better description and prediction of the proactive P2P worm propagation.
文摘I examine the ability of stock selection and time selection in the Chinese A-share Stock Market.I find that significant timing skill of the Chinese stock mutual funds on the HML factor,but not the SMB factor in the time period between 2003 and 2020.I construct the Fama-French model,4-factor model,Treynor-Mazuy model,and Henricksson-Merton model in the whole sample period between 2003 and 2020,as well as three sub-sample periods to examine the significance of different factors and how they perform in each sub-sample period.I also generate the cumulative return and average of the MOM factor.I find that the MOM factor’s average returns are more positive in the latest sub-sample period,from 2017 to 2020.
