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factors model
相关语句
  因素模型
    Analysis of Three Factors Model in Chinese Stock Market
    中国证券市场的三因素模型分析
短句来源
    In this paper,we measure the performance of Chinese equity funds,using Treynor-Mazuy model,Henriksson-Merton model and Chang-Lewellen model which are based on CAPM and Fama-French three factors model respectively in measuring the manager's market timing ability and security selection ability.
    本文主要从中国市场的实际出发,对国内外的证券基金业绩评价体系进行全面的理论研究,着重对证券基金业绩的分解研究进行了探讨,并运用分别基于CAPM和Fama—French三因素模型的Treynor—Mazuy模型、Henriksson—Merton模型和Chang—Lewellen模型等基金经理择时能力和择股能力评价模型对我国的证券基金业绩进行全面的实证分析。
短句来源
    Thirdly a dual factors model is deduced, which integrate the interest rate risk and market risk. The stochastic interest rate is characterized as the Hull-White model, which has an advantage of fixing the current term structure exactly.
    基于Hull-White随机利率模型,导出了反映利率风险和市场风险的可转换债券定价的双因素模型,Hull-White模型的优点在于能够自动适应于当前的期限结构。
短句来源
    At the same time, this article studies the overreaction of Shanghai Stock Exchange using the CARs model, Buy-and-Hold model, CAPM, three factors model and Characteristic model.
    然后,本文采用了市场调整的累计异常收益模型、买入并持有收益模型、单因素风险调整模型、三因素模型和特征模型来检验上海股票市场是否存在过度反应现象。
短句来源
    It is the basis of OAS to construct zero coupon yield curve and define interest rate term factors model.
    其中,零息票收益曲线的构造和利率期限因素模型的定义是期权调整利差法的基础;
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  “factors model”译为未确定词的双语例句
    In this study, we will try to make full use of the advantages of Fama-French three factors model in event studies with long time span to analyze the performance of restructuring listed firm within one year.
    本文试图利用Fama-French三因子模型在时间跨度较长的事件研究中的优势,以其为基本工具,从重组后股票价值变化的角度,研究上市公司资产重组在一年的时间跨度内的绩效。
短句来源
    We study the cross-sectional expected stock returns and test the Fama-French three factors model in A shares of Shanghai and Shenzhen Stock Exchange.
    本文研究沪深A股市场股票收益率的截面性质,并检验Fama French三因素资产定价模型在中国A股市场的适用性。
短句来源
    Referring to BIRR model,the paper develops a macroeconomic factors model in China's stock market.
    本文以BIRR模型为参照,筛选出适用于中国股市的宏观因子套利定价模型中的宏观风险因子。
短句来源
    The three factors model suggested by Fama & French(1993)proves to be a satisfactory explanation on return spread.
    Fama和French(1993)提出的三因子模型,已经被国外很多学者证明能较好的解释股票的收益率差异。
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  factors model
This review explores prominent models of prevention including the risk and protective factors model, levels-of-prevention, and the public health perspective and illustrates each model's power to facilitate efforts toward preventing gambling problems.
      
Several other comorbidity models fit the data as well as or better than the correlated risk factors model.
      
The three independent disorders model did not fit the data, whereas the correlated risk factors model fit the data well.
      
The conclusions of studies that examined the causes of comorbidity between ADHD and CD conflict, with some researchers finding support for the three independent disorders model and others finding support for the correlated risk factors model.
      
We describe a substantive application of the trilinear topographic components /parallel factors model (TC/PARAFAC, due to M?cks/Harshman) to the decomposition of multichannel evoked potentials (MEP's).
      
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In this paper, the value at risk of invested securities is measured by making use of the single factor model, on the basis of which the Sequential Unconstrained Minimization Technique (SUMT) at the outside point is given to resolve the problem of Harry M. Markowitz portfolio selection.

利用单因素模型测算了所投资证券的风险值,并在此基础上,给出了关于Markowitz证券组合选择模型的SUMT外点法求解方法。

Volume is generated directly from trading activities. More and more academic studies in finance begin to focus on it to explore various characters of investors' behaviors and to model financial markets. This paper shows that K+1 fund separation theorem implies an approximate linear K factor structure for trading volume. The linear K factor model is empirically tested using principal components analysis on turnover data of all securities in Shanghai and Shenzhen stock market over a 168 week...

Volume is generated directly from trading activities. More and more academic studies in finance begin to focus on it to explore various characters of investors' behaviors and to model financial markets. This paper shows that K+1 fund separation theorem implies an approximate linear K factor structure for trading volume. The linear K factor model is empirically tested using principal components analysis on turnover data of all securities in Shanghai and Shenzhen stock market over a 168 week sample period (from Jan. 3rd, 1995 to May 15, 1998). Further analyses on first two principal components were conducted to investigate implications of trading volume in Chinese stock market.

交易量是市场投资者交易的直接产物 ,包含了市场和投资者投资行为的众多特性 ,因此逐渐成为金融实务界和理论界关注的热点 .本文从经典的基金分离假设出发 ,讨论了交易量的理论模型 .通过主成分分析的方法 ,检验了中国股市的交易量模型 ,并进一步分析了交易量变化的基本特性

The paper analyzes the cross-sectional determinants of expected stock returns by using empirical method.Compared to existing researches,we extend the research content and method in the following aspects:1.using average return of the market to estimate market return and then to estimate BETA;2.using MLE method to lower the influence of errors in the variables,3.testing both one-factor model and multi-factor models.We find that 1)BETA does not have explanatory power to expect stock returns across all...

The paper analyzes the cross-sectional determinants of expected stock returns by using empirical method.Compared to existing researches,we extend the research content and method in the following aspects:1.using average return of the market to estimate market return and then to estimate BETA;2.using MLE method to lower the influence of errors in the variables,3.testing both one-factor model and multi-factor models.We find that 1)BETA does not have explanatory power to expect stock returns across all the models,even though different estimation method of BETA is used;and 2)Scholes and William(1997) method can help us increase the predicting ability of BETA;3)Shize and B/P can always significantly explain expect stock retuns across all the models,and the same results do not happen to BETA,leverage and P/E ratio;and 4)when size is controlled,the proportion of negotiable shares to total shares also have significant explanatory power.

本文运用经验研究的方法 ,对预期股票收益的决定因素进行了横截面分析。较之以往的研究 ,本文在研究内容和研究方法方面作了如下拓展 :1 )运用公司收益的算术均值来估计市场收益 ,再用该指标估计BETA值 ;2 )运用最大似然估计的方法来估计各变量对股票收益的解释能力 ,以降低变量内生误差的影响 ;3 )既进行了单因素模型的检验 ,又进行了多因素模型的检验。经过研究 ,我们发现 :1 )在对单因素模型和多因素模型的检验中 ,BETA始终没有对股票收益表现出解释能力 ,这种现象在BETA采用不同的估计方法时仍然存在 ;2 )尽管BETA始终没有对股票收益表现出显著的解释能力 ,但当采用Scholes和William(1 977)的方法估计BETA时 ,BETA的预测能力有了明显的提高 ;3 )在预测股票收益时 ,规模和B/P表现出显著的解释能力 ,并且这样的结论在不同的模型中始终成立 ;在不同的模型中 ,BETA、账面财务杠杆和市盈率始终没有通过显著性检验 ,规模和B/P可以解释与上述变量有关的股票收益 ;4)在控制了规模以后 ,流通股比例表现出对预期股票收益显著的解释能力。

 
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