| 金融危机下Fama-French多因子模型在中国债券市场的应用 |
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| 引用本文： | 刘桂梅,杨晨.金融危机下Fama-French多因子模型在中国债券市场的应用[J].浙江大学学报(理学版),2010,37(4):396-400. |
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| 作者姓名： | 刘桂梅 杨晨 |
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| 作者单位： | 1. 浙江大学城市学院,信计系,浙江,杭州,310015
2. 浙江大学,数学系,浙江,杭州,310027 |
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| 基金项目： | 国家教育部重大项目，国家自然科学基金资助项目 |
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| 摘 要： | 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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| 关 键 词： | Fama-French模型 金融危机 债券市场 多因子模型 |
Application of Fama-French multi-factor model in China's bond market during recent financial crisis |
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| LIU Gui-mei,YANG Chen.Application of Fama-French multi-factor model in China's bond market during recent financial crisis[J].Journal of Zhejiang University(Sciences Edition),2010,37(4):396-400. |
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| Authors: | LIU Gui-mei YANG Chen |
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| Institution: | 1.Department of Information and Computing Science,Zhejiang University City College,Hangzhou 310015,China;2.Department of Mathematics,Zhejiang University,Hangzhou 310027,China) |
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| Abstract: | A Fama-French multi-factor model of China＇s bond market is established based on the data from China＇s bond market in the past three years,and is analyzed by comparative multivariate regression method.It turns out that the TERM-DEF two factor model is adaptable in China＇s bond market,though it is improvable by further research. |
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| Keywords: | Fama-French model financial crisis bond market multivariate model |
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