| 投资机构的影响:多因素定价模型实证分析 |
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| 引用本文： | 杨宽,陈收.投资机构的影响:多因素定价模型实证分析[J].系统工程,2006,24(5):76-80. |
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| 作者姓名： | 杨宽 陈收 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082 |
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| 基金项目： | 国家社会科学基金;高等学校博士学科点专项科研项目 |
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| 摘 要： | CAPM、APT模型以及Fama-French三因素模型等都从不同角度来解释资产价格的变化过程。本文从证券市场主力（机构投资）着手．分析了多因素定价模型。通过中国证券市场的数据实证检验了多因素定价模型投资机构定价因子的存在。
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| 关 键 词： | 投资机构 多因素模型 追踪误差 |
| 文章编号： | 1001-4098（2006）05-0076-05 |
| 收稿时间： | 2005-10-06 |
| 修稿时间： | 2005-10-062006-03-06 |
The Role of Institutional Investors: A Empirical Study of Multi-Factor Pricing Model |
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| YANG Kuan,CHEN Shou.The Role of Institutional Investors: A Empirical Study of Multi-Factor Pricing Model[J].Systems Engineering,2006,24(5):76-80. |
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| Authors: | YANG Kuan CHEN Shou |
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| Institution: | College of Business Administration, Hunan University, Changsha 410082, China |
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| Abstract: | An influential paper argued that expected excess return on assets should be related by a linear regression to the excess returns of a broad market portfolio and to other benchmark factor portfolios.This paper considers that multi-factor pricing model is given by the market equilibrium effects of an institutional investor whose attempts to outperform some benchmarks.The empirical test having employed the capital market data in China supports the model's predictions. |
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| Keywords: | Institutional Investor Multi-factor Model Tracking Error |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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