The Study in Characteristics of SMB and HML's Non-system Risk Factors in the Fama and French Three-Factor Model

被引：0

作者：

Lu, Xiaoguang ^{[1
]}

Zheng, Tingyu ^{[1
]}

Lu, Qingchun ^{[1
]}

机构：

[1] Boxue Bldg,8 W Focheng Rd, Nanjing, Jiangsu, Peoples R China

来源：

ADVANCES IN COMPUTER SCIENCE, INTELLIGENT SYSTEM AND ENVIRONMENT, VOL 3 | 2011年 / 106卷

关键词：

SMB; HML; DVI; Fama & French Three-factor Model;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This article thinks that SMB and HML of the Fama & French Three-factor Model are non-systematic risk factors in the micro level. And in this paper, fixed DVI was adopted to calculate the fixed portfolio price index, form the Fama & French Three-factor Model and test the statistical significance of SMB and HML from different portfolios. Come to conclusions that SMB and HML are significant non-systematic risk factors only in part of portfolios and so on.

引用

页码：467 / +

页数：2

共 39 条

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