多因素资产定价模型的统计分析  

Statistical Analysis of the Model of Multi-factors CAPM

作　　者：许瑾[1] 缪柏其[1] 

机构地区：[1]中国科学技术大学统计与金融系,安徽合肥230026

出　　处：《运筹与管理》2004年第2期104-107,共4页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(10071082);教育部博士点基金和科学院创新基金资助

摘　　要：本文以2000年沪市A股的股票作为研究对象,利用聚类分析将其分类并抽取部分作为样本,应用纲目数据统计分析方法,对下周收益率的影响因素作了Logistic回归,得出了股票的收益率具有短期反转的特点。In this paper the factors affecting yield of A-type shares of shanghai stock Exchange are studied by logistic regression model. Using clustering analysis we sort the shares of Shanghai stock into some types, then the yield trend of next week can be forecast in probability. It is also concluded that the yield of the share is characteristic of reversal in short circle.

关 键 词：多因素资产定价模型 聚类分析 LOGISTIC回归 马氏距离 证券市场 

分 类 号：F830.91[经济管理—金融学] F224.7