{"id":440722,"date":"2022-10-21T00:27:59","date_gmt":"2022-10-21T07:27:59","guid":{"rendered":"https:\/\/nai500.com\/?p=440722"},"modified":"2022-10-21T00:27:59","modified_gmt":"2022-10-21T07:27:59","slug":"fama-french%e4%b8%89%e5%9b%a0%e5%ad%90%e6%a8%a1%e5%9e%8b-%e8%b4%a6%e9%9d%a2%e5%b8%82%e5%80%bc%e6%af%94%e5%9b%a0%e5%ad%90%ef%bc%88hml%ef%bc%89","status":"publish","type":"post","link":"https:\/\/nai500.com\/zh-hans\/blog\/2022\/10\/fama-french%e4%b8%89%e5%9b%a0%e5%ad%90%e6%a8%a1%e5%9e%8b-%e8%b4%a6%e9%9d%a2%e5%b8%82%e5%80%bc%e6%af%94%e5%9b%a0%e5%ad%90%ef%bc%88hml%ef%bc%89\/","title":{"rendered":"\u5982\u4f55\u7406\u89e3Fama-French\u4e09\u56e0\u5b50\u6a21\u578b\u4e2d\u7684\u8d26\u9762\u5e02\u503c\u6bd4\u56e0\u5b50\uff08HML\uff09\uff1f"},"content":{"rendered":"

\u4ec0\u4e48\u662f\u8d26\u9762\u5e02\u503c\u6bd4\u56e0\u5b50\uff08HML\uff09\uff1f<\/h2>\n

\u8d26\u9762\u5e02\u503c\u6bd4\u56e0\u5b50\uff08HML\uff09\u4e5f\u88ab\u79f0\u4e3a\u4ef7\u503c\u6ea2\u4ef7\u6216\u4f30\u503c\u56e0\u5b50\uff0c\u662fFama-French\u4e09\u56e0\u5b50\u6a21\u578b\u7684\u4e09\u56e0\u5b50\u4e4b\u4e00\u3002Fama-French\u4e09\u56e0\u5b50\u6a21\u578b\u662f\u7ecf\u6d4e\u5b66\u5bb6Eugene Fama\u548cKenneth French\u8bbe\u8ba1\u7684\u4e00\u5957\u7528\u4e8e\u8bc4\u4f30\u80a1\u7968\u6536\u76ca\u7387\u7684\u7cfb\u7edf\u3002HML\u5bf9\u4ef7\u503c\u80a1\u4e0e\u6210\u957f\u80a1\u4e4b\u95f4\u7684\u6536\u76ca\u5dee\u8fdb\u884c\u4e86\u89e3\u91ca\u3002\u8be5\u7406\u8bba\u8ba4\u4e3a\uff0c\u9ad8\u8d26\u9762\u5e02\u503c\u6bd4\u7684\u516c\u53f8\uff08\u4e5f\u5c31\u662f\u4ef7\u503c\u80a1\uff09\u7684\u6536\u76ca\u7387\u8dd1\u8d62\u4f4e\u8d26\u9762\u5e02\u503c\u6bd4\u7684\u516c\u53f8\uff08\u6210\u957f\u80a1\uff09\u3002<\/p>\n

\u5982\u4f55\u7406\u89e3\u8d26\u9762\u5e02\u503c\u6bd4\u56e0\u5b50\uff08HML\uff09\uff1f<\/h2>\n

\u60f3\u8981\u7406\u89e3HML\uff0c\u6211\u4eec\u9996\u5148\u5fc5\u987b\u8981\u5bf9Fama-French\u4e09\u56e0\u5b50\u6a21\u578b\u6709\u4e00\u4e2a\u57fa\u672c\u7684\u8ba4\u77e5\u3002\u8be5\u6a21\u578b\u521b\u7acb\u4e8e1992\u5e74\uff0c\u521b\u7acb\u8005\u662fEugene Fama\u548cKenneth French\u3002<\/p>\n

Fama-French\u4e09\u56e0\u5b50\u6a21\u578b\u91c7\u75283\u4e2a\u56e0\u5b50\uff08\u5176\u4e2d\u4e4b\u4e00\u5c31\u662fHML\uff09\u6765\u89e3\u91ca\u6295\u8d44\u7ec4\u5408\u7684\u8d85\u989d\u6536\u76ca\uff0c\u5176\u80cc\u540e\u7684\u5e95\u5c42\u7406\u5ff5\u8ba4\u4e3a\u6295\u8d44\u7ec4\u5408\u7ecf\u7406\u521b\u9020\u7684\u6536\u76ca\u5f53\u4e2d\u4e00\u90e8\u5206\u6765\u81ea\u4e8e\u7ba1\u7406\u4eba\u638c\u63a7\u4e4b\u5916\u7684\u56e0\u7d20\u3002\u5177\u4f53\u6765\u8bf4\uff0c\u4ef7\u503c\u80a1\u7684\u5386\u53f2\u5e73\u5747\u6536\u76ca\u7387\u8981\u9ad8\u4e8e\u6210\u957f\u80a1\uff0c\u540c\u65f6\u89c4\u6a21\u8f83\u5c0f\u7684\u516c\u53f8\u7684\u6536\u76ca\u7387\u9ad8\u4e8e\u89c4\u6a21\u8f83\u5927\u7684\u516c\u53f8\u3002<\/p>\n

HML\u63cf\u8ff0\u7684\u662f\u7b2c\u4e00\u4e2a\u56e0\u5b50\uff0c\u5373\u4ef7\u503c\u80a1\u8dd1\u8d62\u6210\u957f\u80a1\uff0c\u800c\u63cf\u8ff0\u7b2c\u4e8c\u4e2a\u56e0\u5b50\uff08\u5c0f\u76d8\u80a1\u8dd1\u8d62\u5927\u76d8\u80a1\uff09\u7684\u672f\u8bed\u662f\u5e02\u503c\u89c4\u6a21\u56e0\u5b50\uff08SMB\uff09\u3002\u5728\u786e\u5b9a\u4e86\u8fd9\u4e9b\u56e0\u5b50\u5bf9\u7ba1\u7406\u4eba\u4e1a\u7ee9\u7684\u8d21\u732e\u5927\u5c0f\u540e\uff0c\u8be5\u6a21\u578b\u7684\u4f7f\u7528\u8005\u53ef\u4ee5\u66f4\u597d\u5730\u4f30\u8ba1\u7ba1\u7406\u4eba\u7684\u6280\u80fd\u3002<\/p>\n

\u5c31\u62ffHML\u56e0\u5b50\u4e3e\u4f8b\uff0c\u6a21\u578b\u663e\u793a\u7ba1\u7406\u4eba\u662f\u5426\u4f9d\u8d56\u4ef7\u503c\u6ea2\u4ef7\uff0c\u4e5f\u5c31\u662f\u901a\u8fc7\u6295\u8d44\u9ad8\u8d26\u9762\u5e02\u503c\u6bd4\u7684\u80a1\u7968\u6765\u8d5a\u53d6\u5f02\u5e38\u6536\u76ca\u7387\u3002\u5982\u679c\u7ba1\u7406\u4eba\u53ea\u4e70\u5165\u4ef7\u503c\u80a1\uff0c\u6a21\u578b\u56de\u5f52\u4f1a\u663e\u793a\u4e0eHML\u56e0\u5b50\u7684\u6b63\u76f8\u5173\uff0c\u8bf4\u660e\u8be5\u6295\u8d44\u7ec4\u5408\u7684\u6536\u76ca\u6765\u81ea\u4e8e\u4ef7\u503c\u6ea2\u4ef7\uff0c\u6700\u521d\u7684\u8d85\u989d\u6536\u76ca\u7387\u4e5f\u56e0\u6b64\u4e0b\u964d\u3002<\/p>\n

Fama\u548cFrench\u7684\u4e94\u56e0\u5b50\u6a21\u578b<\/h2>\n

2014\u5e74\uff0cFama\u548cFrench\u5c06\u4ed6\u4eec\u7684\u6a21\u578b\u6269\u5c55\u4e3a\u4e94\u56e0\u5b50\u6a21\u578b\uff0c\u65b0\u52a0\u5165\u4e86\u76c8\u5229\u548c\u6295\u8d44\u56e0\u5b50\u3002\u6240\u8c13\u76c8\u5229\u56e0\u5b50\uff0c\u8bf4\u7684\u662f\u62a5\u544a\u672a\u6765\u76c8\u5229\u66f4\u9ad8\u7684\u516c\u53f8\u5728\u80a1\u5e02\u7684\u6536\u76ca\u7387\u4e5f\u4f1a\u66f4\u9ad8\uff0c\u800c\u6295\u8d44\u56e0\u5b50\u8bf4\u7684\u662f\u516c\u53f8\u7684\u5185\u90e8\u6295\u8d44\u548c\u56de\u62a5\uff0c\u79ef\u6781\u6295\u8d44\u6210\u957f\u9879\u76ee\u7684\u516c\u53f8\u672a\u6765\u5927\u6982\u7387\u4f1a\u8dd1\u8f93\u3002<\/p>\n

Fama-French\u7684\u6a21\u578b\u4e3a\u4f55\u4f18\u4e8eCAPM\uff1f<\/h2>\n

Fama-French\u4e09\u56e0\u5b50\u6a21\u578b\u662f\u8d44\u672c\u8d44\u4ea7\u5b9a\u4ef7\u6a21\u578b\uff08CAPM\uff09\u7684\u6269\u5c55\u548c\u6539\u8fdb\uff0c\u8bbe\u8ba1\u521d\u8877\u5c31\u662f\u4e3a\u4e86\u5f25\u8865CAPM\u7684\u4e0d\u8db3\u548c\u5c40\u9650\u6027\u30022012\u5e74\u7684\u4e00\u9879\u5b9e\u8bc1\u7814\u7a76\u7ed3\u679c\u663e\u793a\uff0cFama-French\u7684\u4e09\u56e0\u5b50\u6a21\u578b\u5728\u9884\u671f\u6536\u76ca\u7387\u7684\u89e3\u91ca\u80fd\u529b\u65b9\u9762\u5f3a\u4e8eCAPM\u3002\u8be5\u7814\u7a76\u6839\u636eCAPM\u548cFama-French\u4e09\u56e0\u5b50\u6a21\u578b\u5bf9\u4e00\u4e2a\u7ebd\u7ea6\u8bc1\u5238\u4ea4\u6613\u6240\u80a1\u7968\u6295\u8d44\u7ec4\u5408\u7684\u9884\u671f\u6536\u76ca\u7387\u8fdb\u884c\u6d4b\u8bd5\uff0c\u4f46\u8bd5\u9a8c\u8868\u660e\u7ed3\u679c\u4f9d\u6295\u8d44\u7ec4\u5408\u6784\u5efa\u65b9\u5f0f\u4e0d\u540c\u800c\u53d1\u751f\u53d8\u5316\u3002<\/p>\n

\u4ec0\u4e48\u662fHML\u8d1d\u5854\u7cfb\u6570\uff1f<\/h2>\n

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