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[matlab] Fama_French_model DL : 0: 沪深300指数三因子模型择时策略。 Fama的三因子认为影响股价主要取决于下面3个因子。 A：市场超额收益率（RMT） B：规模因子（SMB） C：账面市值比（HML）本策略目标是根据Fama三因子模型构建大盘小盘风格轮动策略。第1版张树德编写（sdzhang@wind.com.cn） 2013年9月5日参考：蒋瑛琨，国泰君安证券股份有限公司，多因子选股模型之因子分析与筛选Ⅰ:估值与财务成长类指标——数量化研究系列之十七。 -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.
Date : 2025-12-27 Size : 1kb User : 吴桐