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资产定价模型与因子投资研究 经济管理类;专著;金融市场;中国 VIP

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李博   社会科学文献出版社  2020-05 出版
ISBN:978-7-5201-6621-8

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图书简介 目录 参考文献 音频 视频
本书首先对因子理论、因子投资和资产定价模型的理论发展进行梳理,再对系统性风险因子和多种异象效应的形成机制进行深入剖析,并讨论了目前研究中面临的主要问题。为了克服这些问题,本书采用小波分析和动态模型平均方法分别从多时间尺度和动态分析的角度进行研究。最后,本书深入分析了我国股票市场存在的动量和反转效应,并将因子投资理念与我国股票市场数据相结合,提出了适应我国证券市场的投资策略。
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  • 自序
  • 摘要
  • Abstract
  • 图目录
  • 表目录
  • 第1章 导言
    1. 1.1 研究背景、目的和意义
    2. 1.2 文献综述
    3. 1.3 研究思路
    4. 1.4 本书的创新点
    5. 1.5 结构安排
  • 第2章 理论基础与研究中存在的缺陷
    1. 2.1 风险因子与因子投资
    2. 2.2 因子模型
    3. 2.3 研究中存在的缺陷
  • 第3章 资产定价模型的小波分析
    1. 3.1 金融多时间尺度分析
    2. 3.2 小波变换与多分辨分析
    3. 3.3 资产定价模型的小波分析
    4. 3.4 本章小结
  • 第4章 资产定价模型的动态分析
    1. 4.1 动态模型平均方法
    2. 4.2 实证过程和结果
    3. 4.3 动态模型平均的实践
    4. 4.4 本章小结
  • 第5章 我国股票市场的动量和反转效应
    1. 5.1 研究方法
    2. 5.2 实证结果
    3. 5.3 投资策略
    4. 5.4 本章小结
  • 第6章 我国股票市场的因子投资策略
    1. 6.1 中证800指数简介
    2. 6.2 规模因子投资
    3. 6.3 价值因子投资
    4. 6.4 反转因子投资
    5. 6.5 多元化因子投资
    6. 6.6 本章小结
  • 第7章 结论与展望
    1. 7.1 主要结论
    2. 7.2 存在的不足
    3. 7.3 启示与展望
  • 致谢
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