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价值因子的一种变形实证分析

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摘要 本文从价值因子出发,探究股票未来超额收益与股票估值的关系,并通过对价值因子进行变形,构建一种新的因子:估值变化率。基于A股市场实证分析表明:估值变化率因子具有较强的定价作用。通过以估值变化率构建多空股票组合,在长期中可以获得统计显著的超额收益。本文为资产定价模型的建立提供新的思路,也为价值因子构建形式提供理论与实证方面的补充。
作者 滕力
机构地区 上海大学
出处 《合作经济与科技》 2023年第9期45-49,共5页 Co-Operative Economy & Science
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