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	上证行业指数收益率的非线性决定机制——基于Fama-French三因素模型的半参数回归分析; Nonlinear Decision Mechanism of Shanghai Industry Index Returns:Findings from Semi -parametric Analysis of Fama -French Three Factors Model
	李坤明 ; 方丽婷
	2013-01-20
关键词	行业指数 收益率 Fama-French三因素模型 半参数部分线性可加模型 industry index rate of return Fama-French three factors model semi parametric partial linear additive model
英文摘要	在三因素模型的基础上,对三因素的非线性影响加以考虑,利用半参数部分线性可加模型实证研究了市场、规模及账面市值比三因素对上证五类行业指数收益率的线性与非线性影响。实证结果表明:市场因素对所有指数均存在显著的正向线性影响,规模因素和账面市值比因素对五类指数的线性影响显著但存在差异;市场因素对地产和工业指数分别存在显著的倒“u“型和“n“型的非线性影响,规模因素与公用类指数存在显著的“u“型非线性关系,账面市值比因素对工业和地产类指数存在倒“n“型的非线性影响,对综合类指数则具有显著的“n“型非线性作用。; In this paper,the nonlinear effects of three factors are taken into account in the three factors model,and semi-parametric partial linear additive model is used to analyze the linear and nonlinear effects of market,size and book-to-market equity on the returns of five Shanghai industry index.The empirical results show that:The market factor has significant positive linear effect on all indexes,the linear effect of the size factor and the book-to-market equity on five indexes are significant but different;The market factor has significant inverted"U"shape and"N"shape nonlinear effects on real estate and industrial index respectively,and there exists significant"U"shape nonlinear relationship between the size factor and public index,the book-to-market equity has inverted"N"shape nonlinear effects on real estate and industrial index,but has significant"N"shape nonlinear effects on composite index.; 国家社科基金项目(10CTJ002); 中央高校基本科研业务经费项目(ZK1021)
语种	zh_CN
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/112849]
专题	经济学院－已发表论文
推荐引用方式 GB/T 7714	李坤明,方丽婷. 上证行业指数收益率的非线性决定机制——基于Fama-French三因素模型的半参数回归分析, Nonlinear Decision Mechanism of Shanghai Industry Index Returns:Findings from Semi -parametric Analysis of Fama -French Three Factors Model[J],2013.
APA	李坤明,&方丽婷.(2013).上证行业指数收益率的非线性决定机制——基于Fama-French三因素模型的半参数回归分析..
MLA	李坤明,et al."上证行业指数收益率的非线性决定机制——基于Fama-French三因素模型的半参数回归分析".(2013).

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