摘要
对B/M效应已有研究结果进行回顾,总结了B/M效应解释中存在的风险溢价和特征要素观点冲突。通过基于产业与资本市场的资产定价模型的推导原理和经济涵义,统一了对B/M效应的理性风险补偿与特征要素解释观点;实证效果证实了之前的理论结果。
This paper reviews the known research on B/M effect and indicates the conflict between explanation of risk premium and that of character factors. Then it is demonstrated that the B/M variable enters asset pricing model by way of risk premium and character factor. The subsequent empirical results prove the theoretical impression.
出处
《系统工程理论方法应用》
北大核心
2006年第2期145-148,157,共5页
Systems Engineering Theory·Methodology·Applications
