Zhejiang Daxue xuebao. Lixue ban (Jul 2010)

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)

  • LIUGui-mei(刘桂梅),
  • YANGChen(杨晨)

DOI
https://doi.org/10.3785/j.issn.1008-9497.2010.04.007
Journal volume & issue
Vol. 37, no. 4
pp. 396 – 400

Abstract

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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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