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本文采用最大叠加离散小波变换对资本资产定价模型(CAPM)、Fama-French三因子模型(FF3)和五因子模型(FF5)等进行多时间尺度研究。实证结果证实:投资组合无法在短期内通过对冲市场风险取得显著的α收益;投资组合超额收益与模型因子之间的关系随着时间尺度的增加而增加。另外,FF3模型能够吸收大市值投资组合的价值效应,FF5模型可以同时吸收大市值投资组合的价值效应和投资效应,以及小市值投资组合的盈利效应。
In this paper, maximum stack of discrete wavelet transform (CAPM), Fama-French three-factor model (FF3) and five-factor model (FF5) The empirical results confirm that the portfolio can not obtain significant α-returns in the short run by hedging the market risk. The relationship between portfolio excess returns and model factors increases with the time scale. In addition, the FF3 model can absorb the value effect of a large market value portfolio. The FF5 model can simultaneously absorb the value effect and investment effect of a large market value portfolio and the profit effect of a small market value portfolio.