| 动态财务分析中的投资产生器 |
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| 引用本文： | 张琳,张勇.动态财务分析中的投资产生器[J].系统工程,2007,25(3):67-72. |
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| 作者姓名： | 张琳 张勇 |
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| 作者单位： | 1. 国防科技大学,信息系统与管理学院,湖南,长沙,410073;湖南大学,金融学院,湖南,长沙,410079
2. 湖南大学,金融学院,湖南,长沙,410079 |
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| 摘 要： | 国外动态财务分析（DFA）的投资产生器中以往都是采用CAPM对权益型资产进行定价.鉴于CAPM在中国资本市场的适用性尚存较大疑问,本文用较为精确的Fama和French的三因子模型对动态财务分析中的CAPM进行替代.并且利用历史数据对FF三因子模型的参数进行了估算,并对其解释能力进行了评估,保证了FF三因子模型可行.最后比较了FF三因子模型和CAPM在动态财务分析DynaMo 3.0平台下的预测能力.得出在DFA下FF三因子模型的解释能力和预测准确性都强于CAPM的结论,建立了适合中国市场状况的投资产生器.
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| 关 键 词： | FF三因子模型 |
| 文章编号： | 1001-4098（2007）03-0067-06 |
| 修稿时间： | 2006-11-20 |
Investment Generator in Dynamic Financial Analysis |
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| ZHANG Lin,ZHANG Yong.Investment Generator in Dynamic Financial Analysis[J].Systems Engineering,2007,25(3):67-72. |
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| Authors: | ZHANG Lin ZHANG Yong |
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| Institution: | 1. School of Finance, Hunan University,Changsha 410079,China ;2. School of Information System and Management,National University of Defence Technology,Changsha 410073,China |
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| Abstract: | CAPM is used in DFA for equity asset pricing.But CAPM does not suit our capital market.This paper takes FF three-factor model instead of CAPM.So lots of historic datas are used to estimate the parameters in FF three-factor model.Then the model's abilities of explanation are evaluated in this paper.At the end,FF three-factor model and CAPM are compared on the DynaMo 3.0.The conclusion is FF three-factor model is more steady and more accurate than CAPM.A model of investment generator which is suit for China has been set up. |
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| Keywords: | DFA CAPM |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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