Three- factor Model Timing Strategy of Shanghai and Shenzhen 300 Index. Fama s three factors that affect the stock price depends mainly on the following three factors. A: Market excess return (RMT) B: Scale Factor (SMB) C: book-to-market ratio (HML) The strategy objective is to construct the small-cap style wheeled strategy based on the Fama three-factor model. First edition Zhang Shude prepared (sdzhang@wind.com.cn) September 5, 2013 reference: Factor Analysis and Screening of Multifactor Stock Selection Model Ⅰ: Valuation and Financial Growth Indicators- Quantitative Research Series XVII.

Fama_French_model.txt

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