证券投资的因素分析模型

Factor Model of Security Price

根据 Markowits的资本资产定价理论 ,结合中国证券市场的具体情况 ,采用多元分析方法 ,建立了一种新的证券价格波动模型 .此模型揭示了证券价格与宏观因素 (利率 )、微观因素 (收益、股本、分红 )的规律 ,刻划了它们影响证券价格的具体权重 ;同时用 T-检验法对模型进行了显著性检验 ,并给出了投资风险的度量和控制 .

By the capital and asset theory of Markowits, integrating to Chinese security market, a new model of assets price is built with multi factor analysis method.It reveals the principle of assets price about macro factor (discount rate )and micro factor (corporate net return per share, bonus share, current capital),and depicts the weightings of the factors.With T method the markable test is gained about the model, and the measure and control of risk are given.