Common risk factors in the returns on stocks and bonds--Fama-French三因子模型的诞生
Fama-French三因子计算过程说明
Fama-French三因子计算过程说明姜国华、叶昕、饶品贵、祝继高（北京大学光华管理学院会计系，1000871）一、数据来源财务数据来源于CSMAR财务年报数据库。
数据区间：资产负债表自1990年起，利润及利润分配表自1990年起，财务状况变动表自1992年起，现金流量表自1998年起，资产减值准备表自2001年起。
市场回报数据来源于CSMAR中国证券市场交易数据库。
数据区间：上海A股从1990年12月19日起，深圳A股从1991年07月03日。
市场回报数据包括月个股回报、月市场回报、综合月市场回报三个数据集。
无风险利率我们使用的是中国人民银行公布的人民币三个月整存整取利率调整后得到的，即将三个月整存整取利率除以12。
二、数据处理过程11．财务数据只保留年末数(Sgnyea='B')2，剔除年初数（Sgnyea='A'）；然后按公司和按年度将资产负债表、利润及利润分配表和现金流量表合并。
市场回报数据剔除B股数据，并将所有特殊值替换为缺失值，最后按月份将月个股回报、月市场回报和综合月市场回报进行合并。
2．以个股第t-1年12月31日的权益账面价值与市场价值的比值(Book-to-market ratio，简称BM)和第t年4月30日的市场价值(简称SIZE)为依据，对第t年5月至第t＋1年4月期间内的公司观测进行分组（每个月进行分组）。
分组方法如下：(1)按SIZE大小平均分为两组（Small组, Big组）；(2)按BM从小到大分三组，即前30%(Growth组)，中间40%(Neutral组)，后30%(Value组)，共形成六个组，即Small Growth组, Small Neutral组, Small Value组, Big Growth组, Big Neutral组, Big Value组。
个股的市场价值是指月个股总市值(Msmvttl)，。
若BM和SIZE为缺失值或负值，则予以删除。
--CFA一级Notes习题笔记
CFA一级Notes习题笔记EthicsCode of Ethics1.act with integrity, competence, diligence, respect, and in an ethical manner with the public, clients, prospective clients, employers, employees, colleagues in the investment profession, and other participants in the global capital markets2.place the integrity of the investment profession and the interests of clients above their own personal interestse reasonable care and exercise independent professional judgement when conducting investment analysis, making investment recommendations, taking investment actions, and engaging in other professional activities4.practice and encourage others to practice in a professional and ethical manner that will reflect credit on themselves and the profession5.promote the integrity of, and uphold the rules governing, capital markets6.maintain and improve their professional competence and strive to maintain and improve the competence of other ivestment professionals.Standards of Professional ConductI professionalismA.knowledge of the lawB.independence and objectivityC.MisrepresentationD.MisconductII.integrity of capital marketsA.material nonpublic informationB.market manipulationIII.duties to clientsA.Loyalty,Prudence and CareB.Fair DealingC.SuitabilityD.Performance presentationE.preservation of confidentialityIV.duties to employersA.loyaltyB.additional compensation arrangementsC.responsibilities of supervisorsV.investment analysis, reommendations,and actionsA.Diligence and reasonable basismunication with clients and prospective clientsC.record retentionVI.conflicts of interestA.Disclosure of conflictsB.priority of transactionsC.referral feesVII.responsibilities as a CFA institute member or CFA candidateA.conduct as menbers and candidates in the cfa programB.reference to CFA institute, the cfa designation, and the cfa program1.私人投资跟Code无关，但滥用举报违反personal conduct。
关于企业投资的外文参考文献
关于企业投资的外文参考文献[1] harry markowitz. portfolio selection [j]. the journal of finance, 1952，7:77-91[2] william f. sharpe. capital asset prices: a theory of market equilibrium under conditions of risk [j]. the journal of finance, 1964，19:425?442[3] j. lintner. the valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets [j]. review of economics and statistics, 1965，47:13?37[4] e. fama, k. french. the cross-section of expected stock returns [j]. journal of finance, 1992，47:427?465[5] e. fama, k. french. common risk factors in the returns on stocks and bonds [j], jounal of financial economics, 1993，33:3?56[6] e. fama，k. french. dissecting anomalies [j]. journal of finance, XX:1653?1678[7] j. berk, r. green, v. naik. optimal investment, growth options，and security returns [j]. journal offinanc，1999，54:1553?1607[8] j. gomes, l. kogan, l. zhang. equilibrium cross section of returns [j]. journal of political economy, XX:693?732[9] m. carlson, a. fisher, r. giammarino. corporate investment and asset price dynamics: implications for the cross-section of returns [j]. journal of finance, XX, 59:2577?2603[10] i. cooper. asset pricing implications of nonconvex adjustment costs and irreversibility of investment [j], journal of finance, XX，61:139?170[11] c. polk, p. sapienza. the stock market and corporate investment: a test of catering theory [j]. review of financial studies, XX, 22:187?217[12] i. cooper, r. priestley. real investment and risk dynamics [j]. journal of financial economics, XX, 101:182?205[13]辞海[m].上海：上海辞书出版社，1999:815[14]不列颠百科全书(第八卷)[m].北京：中国大百科全书出版社，XX:413[15] samuelson, nordhaus. economics [m]. 19th ed. new york: mcgraw-hill, XX[16] dougall, corrigan [m]. 10th ed. n.j.: prentice-hall, cl978[17] r. ibbotson. price performance of common stock new issues [j]. journal of financial economics, 1975，3:235?272[18] t. loughran, j. ritter. the new issues puzzle [j]. journal of finance, 1995, 50:23? 52[19] k. spiess, j. affleck-graves. the long-run performance of stock returns following debt offerings [j]. journal of financial economics, 1999. 54:45?73[20] m. billet, m. flannery, j. garfmkel. are bank loans special? evidence on the post-announcement performance of bank borrowers[j]. journal of financial and quantitative analysis，XX，41:733?752[21] j. lakonishok，a. shleifer, r. vishny. contrarian investment, extrapolation，and risk [j]. journal of finance, 1994，49:1541 ?1578[22] d. ikenberry, j. lakonishok, t. vermaelen. market underreaction to open market share repurchases [j]. journal of financial economics，1995，39:181 ?208[23] r. michaely，r. thaler, k. womack. price reactions to dividend initiations and omissions: overreaction or drift? [j].journal of finance，1995，50:573?608[24] c. anderson，l. garcia-feijoo. empirical evidence on capital investment, growth options, and security returns [j]. journal of finance, XX，61:171 ?194[25] p. m. fairfield, j. s. whisenant, t. l. yohn. accrued earnings and growth: implications for future profitability and market mispricing[j]. the accounting review, XX, 78:353?371[26] zhang. accruals，investment, and the accrual anomaly [j]. accounting review, XX， 82:1333?1363[27] m. t. bradshaw, s. a. richardson, r. g. sloan. the relation between corporate financing activities, analysts' forecasts and stock returns [j]. journal of accounting and economics, XX, 42:53?85[28] j. pontiff, a. woodgate. share issuance and cross-sectional returns [j]. journal of finance, XX, 63:921 ?945[29] m. cooper, h. gulen, m. schill. asset growth and the cross-section of stock returns [j]. journal of finance, XX, 68:1609?1651[30] p. gray, j. johnson. the relationship between asset growth and the cross-section of stock returns [j]. journal of banking & finance, XX，35:670-680。
三因子模型构造和回归详解
因变量的描述性统计
• 从表1来看，最小分位数的组合中含有最多的股票。尽管他们 有最多的股票数量，但是五个最小市值分位数的组合的市值都 比25个组合的平均市值要小0.7%左右。
• 五个最大市值的组合却只有最少数量的股票。五个最大市值组 合占总组合比重是74%。
• 拥有最大市值和最小账面市值比的组合（代表了大的成功的公 司）单独地占有了超过全部组合的30%的市值比重。
使用市值和账面市值比划分是为了验证我们构造的SMB 和HML是否抓住了股票回报中和规模和账面市值比有关 的共同因子。 后面，使用收益/价格和股息/价格进行稳健性检验。
因变量的描述性统计
按账面市值比划分的五个分位
按市值规模划分 的五个分位
规模的均值
市值占总组合的比重 Earning/Price
组合的每年的平均数量 Dividend/Price
• 可以看出因子的值是一个市值加权月收益率序列,因 为研究了29年的数据，所以因子的长度是342(Fam a只做到了1991.10月，所以是342个月）
5
二、因变量的划分标准 For the size sort. ME is measured at the end of June. For the book-to-market sort, ME is market equity at the end of December of c - 1. and BE is book comm on equity for the fiscal year ending in calendar yea r r - 1. 在Fama和French的文章中，他们用每年六月末的股票市 值和每年年末的帐市比作为分类依据，因为六月末是美 国股市要求披露年报的日期，而年末时间节点的选择是 因为整个研究是以一个自然年为分组依据。
金融英语第十章答案
金融英语第十章答案Exercises of Chapter 10I. Answer the following questions in English.1.When is bond said to be selling at a premium and when is bond said to be selling at a discount?Ans: When a bond trades at a price above the face value,it is said to be selling at a premium. When a bond sells below face value, it is said to be selling at a discount.2.What is the most important source of risk for bonds in general? Ex plain.Ans: Interest rate risk is the number one source of risk to fixed-in come investors,because it's the major cause of price volatility in the bond market.3.What is the major advantage for municipal bonds?Ans: The major advantage to munis is that the returns are free from federal tax.4.What is the coupon?Ans: The coupon is the amount the bondholder will receive as inte rest payments.5.What are callable bonds?Ans: A bond that can be redeemed by the issuer prior to its maturit y. Usually a premium is paid to the bond owner when the bond is calle d. Also known as a "redeemable bond".6.How to classify fixed-income securities in general?Ans: In general, fixed-income securities are classified according to the length of timebefore maturity7.What are zero-coupon bonds?Ans: This is a type of bond that makes no coupon payments but instead is issued at aconsiderable discount to par value.8.What do bond brokers do for investors?Ans: A full service or discount brokerageⅡ. Fill in the each blank with an appropriate word o r expression.l. Interest Rate Risk is the number one source of risk to fixed-incom e investors,because it's the ( major )cause of price volatility in the bond market.2.In the ( case )of bonds, interest rate risk translates ( into ) marketrisk: The behavior of interest rate, in general, affects all bond s and cuts( across ) all sectors of the market-even the U.S. Treasury mar ket.3. When market interest rates rise, bond prices fall, and vice ver sa. And asinterest rates become more volatile,( so ) do bond prices.4. This is a type of bond that makes no coupon payments but( ins tead )isissued at a considerable discount to par value. For example, let's say a zero-coupon bond with a $1 000 par value and 10 years to maturity is( trading )at $ 600; you'd be paying $ 600 ( today )for a bond that wil l be worth$1 000 in 10 years.5. Bonds have a ( number )of characteristics of which youneed to be aware.All of these factors play a role in determining the value of a b ond and theextent to( which )it fits in your portfolio.6. In general, fixed-income securities are classified( according to )the length of timebefore maturity. These are the three main categories.III. Translate the following sentences into English.l.债券买卖是指交易双方以约定的价格买卖一定金额的债券并在规定的清算时间内办理债券款项交割的交易方式。
投资学课后答案APT
投资学课后答案APTChapter 10 Arbitrage Pricing Theory and Multifactor Models of Risk and Return Multiple Choice Questions1. ___________ a relationship between expected return and risk.A. APT stipulatesB. CAPM stipulatesC. Both CAPM and APT stipulateD. Neither CAPM nor APT stipulateE. No pricing model has found2. Consider the multifactor APT with two factors. Stock A has an expected return of 17.6%, a beta of 1.45 on factor 1 and a beta of .86 on factor 2. The risk premium on the factor 1 portfolio is3.2%. The risk-free rate of return is 5%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 9.26%B. 3%C. 4%D. 7.75%E. 9.75%3. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. factor sensitivitiesC. idiosyncratic riskD. factor betasE. both factor sensitivities and factor betas4. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor betasE. unique risk5. In a multi-factor APT model, the coefficients on the macro factors are often called ______.A. systemic riskB. firm-specific riskC. idiosyncratic riskD. factor loadingsE. unique risk6. Which pricing model provides no guidance concerning the determination of the risk premium on factor portfolios?A. The CAPMB. The multifactor APTC. Both the CAPM and the multifactor APTD. Neither the CAPM nor the multifactor APTE. No pricing model currently exists that provides guidance concerning the determination of the risk premium on any portfolio7. An arbitrage opportunity exists if an investor can construct a __________ investment portfolio that will yield a sure profit.A. small positiveB. small negativeC. zeroD. large positiveE. large negative8. The APT was developed in 1976 by ____________.A. LintnerB. Modigliani and MillerC. RossD. SharpeE. Fama9. A _________ portfolio is a well-diversified portfolio constructed to have a beta of 1 on one of the factors and a beta of 0 on any other factor.A. factorB. marketC. indexD. factor and marketE. factor, market, and index10. The exploitation of security mispricing in such a way that risk-free economic profits may be earned is called___________.A. arbitrageB. capital asset pricingC. factoringD. fundamental analysisE. technical analysis11. In developing the APT, Ross assumed that uncertainty in asset returns was a result ofA. a common macroeconomic factor.B. firm-specific factors.C. pricing error.D. neither common macroeconomic factors nor firm-specific factors.E. both common macroeconomic factors and firm-specific factors.12. The ____________ provides an unequivocal statement on the expected return-beta relationship for all assets, whereas the _____________ implies that this relationship holds for all but perhaps a small number of securities.A. APT; CAPMB. APT; OPMC. CAPM; APTD. CAPM; OPME. APT and OPM; CAPM13. Consider a single factor APT. Portfolio A has a beta of 1.0 and an expected return of 16%. Portfolio B has a beta of 0.8 and an expected return of 12%. The risk-free rate of return is 6%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio __________ and a long position in portfolio _______.A. A; AB. A; BC. B; AD. B; BE. A; the riskless asset14. Consider the single factor APT. Portfolio A has a beta of 0.2 and an expected return of 13%. Portfolio B has a beta of 0.4 and an expected return of 15%. The risk-free rate of return is 10%. If you wanted to take advantage of an arbitrage opportunity, you should take a short position in portfolio _________ and a long position in portfolio _________.A. A; AB. A; BC. B; AD. B; BE. No arbitrage opportunity exists.15. Consider the one-factor APT. The variance of returns on the factor portfolio is 6%. The beta of a well-diversified portfolio on the factor is 1.1. The variance of returns on thewell-diversified portfolio is approximately __________.A. 3.6%B. 6.0%C. 7.3%D. 10.1%E. 8.6%16. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 18%. The standard deviation on the factor portfolio is 16%. The beta of thewell-diversified portfolio is approximately __________.A. 0.80B. 1.13C. 1.2517. Consider the single-factor APT. Stocks A and B have expected returns of 15% and 18%, respectively. The risk-free rate of return is 6%. Stock B has a beta of 1.0. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 1.00C. 1.30D. 1.69E. 0.7518. Consider the multifactor APT with two factors. Stock A has an expected return of 16.4%, a beta of 1.4 on factor 1 and a beta of .8 on factor 2. The risk premium on the factor 1 portfolio is 3%. The risk-free rate of return is 6%. What is the risk-premium on factor 2 if no arbitrage opportunities exit?A. 2%B. 3%C. 4%D. 7.75%E. 6.89%19. Consider the multifactor model APT with two factors. Portfolio A has a beta of 0.75 on factor 1 and a beta of 1.25 on factor 2. The risk premiums on the factor 1 and factor 2 portfolios are 1% and 7%, respectively. The risk-free rate of return is 7%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 15.0%C. 16.5%D. 23.0%E. 18.7%20. Consider the multifactor APT with two factors. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 6%, respectively. Stock A has a beta of 1.2 on factor 1, and a beta of 0.7 on factor 2. The expected return on stock A is 17%. If no arbitrage opportunities exist, the risk-free rate of return is ___________.A. 6.0%B. 6.5%C. 6.8%D. 7.4%E. 7.7%21. Consider a one-factor economy. Portfolio A has a beta of 1.0 on the factor and portfolio B has a beta of 2.0 on the factor. The expected returns on portfolios A and B are 11% and 17%, respectively. Assume that the risk-free rate is 6% and that arbitrage opportunities exist. Suppose you invested $100,000 in the risk-free asset, $100,000 in portfolio B, and sold short $200,000 of portfolio A. Your expected profit from this strategy would be ______________.A. ?$1,000B. $0C. $1,00022. Consider the one-factor APT. Assume that two portfolios, A and B, are well diversified. The betas of portfolios A and B are 1.0 and 1.5, respectively. The expected returns on portfolios A and B are 19% and 24%, respectively. Assuming no arbitrage opportunities exist, therisk-free rate of return must be ____________.A. 4.0%B. 9.0%C. 14.0%D. 16.5%E. 8.2%23. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 5% and 3%, respectively. The risk-free rate of return is 10%. Stock A has an expected return of 19% and a beta on factor 1 of 0.8. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.50C. 1.67D. 2.00E. 1.7324. Consider the single factor APT. Portfolios A and B have expected returns of 14% and 18%, respectively. The risk-free rate of return is 7%. Portfolio A has a beta of 0.7. If arbitrage opportunities are ruled out, portfolio B must have a beta of__________.A. 0.45B. 1.00C. 1.10D. 1.22E. 1.33There are three stocks, A, B, and C. You can either invest in these stocks or short sell them. There are three possible states of nature for economic growth in the upcoming year; economic growth may be strong, moderate, or weak. The returns for the upcoming year on stocks A, B, and C for each of these states of nature are given below:25. If you invested in an equally weighted portfolio of stocks A and B, your portfolio return would be ___________ if economic growth were moderate.A. 3.0%D. 16.0%E. 17.0%26. If you invested in an equally weighted portfolio of stocks A and C, your portfolio return would be ____________ if economic growth was strong.A. 17.0%B. 22.5%C. 30.0%D. 30.5%E. 25.6%27. If you invested in an equally weighted portfolio of stocks B and C, your portfolio return would be _____________ if economic growth was weak.A. ?2.5%B. 0.5%C. 3.0%D. 11.0%E. 9.0%28. If you wanted to take advantage of a risk-free arbitrage opportunity, you should take a short position in _________ and a long position in an equally weighted portfolio of _______.A. A; B and CB. B; A and CC. C; A and BD. A and B; CE. No arbitrage opportunity exists.Consider the multifactor APT. There are two independent economic factors, F1and F2. The risk-free rate of return is 6%. The following information is available about two well-diversified portfolios:29. Assuming no arbitrage opportunities exist, the risk premium on the factor F1portfolio should be __________.A. 3%B. 4%C. 5%D. 6%E. 2%30. Assuming no arbitrage opportunities exist, the risk premium on the factor F2 portfolio should be ___________.A. 3%B. 4%C. 5%D. 6%E. 2%31. A zero-investment portfolio with a positive expected return arises when _________.A. an investor has downside risk onlyB. the law of prices is not violatedC. the opportunity set is not tangent to the capital allocation lineD. a risk-free arbitrage opportunity existsE. a risk-free arbitrage opportunity does not exist32. An investor will take as large a position as possible when an equilibrium price relationship is violated. This is an example of _________.A. a dominance argumentB. the mean-variance efficiency frontierC. a risk-free arbitrageD. the capital asset pricing modelE. the SML33. The APT differs from the CAPM because the APT _________.A. places more emphasis on market riskB. minimizes the importance of diversificationC. recognizes multiple unsystematic risk factorsD. recognizes multiple systematic risk factorsE. places more emphasis on systematic risk34. The feature of the APT that offers the greatest potential advantage over the CAPM is the ______________.A. use of several factors instead of a single market index to explain the risk-return relationshipB. identification of anticipated changes in production, inflation, and term structure as key factors in explaining the risk-return relationshipC. superior measurement of the risk-free rate of return over historical time periodsD. variability of coefficients of sensitivity to the APT factors for a given asset over timeE. superior measurement of the risk-free rate of return over historical time periods and variability of coefficients of sensitivity to the APT factors for a given asset over time35. In terms of the risk/return relationship in the APTA. only factor risk commands a risk premium in market equilibrium.B. only systematic risk is related to expected returns.C. only nonsystematic risk is related to expected returns.D. only factor risk commands a risk premium in market equilibrium and only systematic risk is related to expected returns.E. only factor risk commands a risk premium in market equilibrium and only nonsystematic risk is related to expected returns.36. The following factors might affect stock returns:A. the business cycle.B. interest rate fluctuations.C. inflation rates.D. the business cycle, interest rate fluctuations, and inflation rates.E. the relationship between past FRED spreads.37. Advantage(s) of the APT is(are)A. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios.B. that the model does not require a specific benchmark market portfolio.C. that risk need not be considered.D. that the model provides specific guidance concerning the determination of the risk premiums on the factor portfolios and that the model does not require a specific benchmark market portfolio.E. that the model does not require a specific benchmark market portfolio and that risk need not be considered.38. Portfolio A has expected return of 10% and standard deviation of 19%. Portfolio B has expected return of 12% and standard deviation of 17%. Rational investors willA. borrow at the risk free rate and buy A.B. sell A short and buy B.C. sell B short and buy A.D. borrow at the risk free rate and buy B.E. lend at the risk free rate and buy B.39. An important difference between CAPM and APT isA. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition.B. CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium.C. implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.D. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition, CAPM assumes many small changes are required to bring the market back to equilibrium; APT assumes a few large changes are required to bring the market back to equilibrium, implications for prices derived from CAPM arguments are stronger than prices derived from APT arguments.E. CAPM depends on risk-return dominance; APT depends on a no arbitrage condition and assumes many small changes are required to bring the market back to equilibrium.40. A professional who searches for mispriced securities in specific areas such as merger-target stocks, rather than one who seeks strict (risk-free) arbitrage opportunities is engaged inA. pure arbitrage.B. risk arbitrage.C. option arbitrage.D. equilibrium arbitrage.E. covered interest arbitrage.41. In the context of the Arbitrage Pricing Theory, as a well-diversified portfolio becomes larger its nonsystematic risk approachesA. one.B. infinity.C. zero.D. negative one.E. None of these is correct.42. A well-diversified portfolio is defined asA. one that is diversified over a large enough number of securities that the nonsystematic variance is essentially zero.B. one that contains securities from at least three different industry sectors.C. a portfolio whose factor beta equals 1.0.D. a portfolio that is equally weighted.E. a portfolio that is equally weighted and contains securities from at least three different industry sectors.43. The APT requires a benchmark portfolioA. that is equal to the true market portfolio.B. that contains all securities in proportion to their market values.C. that need not be well-diversified.D. that is well-diversified and lies on the SML.E. that is unobservable.44. Imposing the no-arbitrage condition on a single-factor security market implies which of the following statements?I) the expected return-beta relationship is maintained for all but a small number ofwell-diversified portfolios.II) the expected return-beta relationship is maintained for all well-diversified portfolios.III) the expected return-beta relationship is maintained for all but a small number of individual securities.IV) the expected return-beta relationship is maintained for all individual securities.A. I and III are correct.B. I and IV are correct.C. II and III are correct.D. II and IV are correct.E. Only I is correct.45. Consider a well-diversified portfolio, A, in a two-factor economy. The risk-free rate is 6%, the risk premium on the first factor portfolio is 4% and the risk premium on the second factor portfolio is 3%. If portfolio A has a beta of 1.2 on the first factor and .8 on the second factor, what is its expected return?A. 7.0%B. 8.0%C. 9.2%D. 13.0%E. 13.2%46. The term "arbitrage" refers toA. buying low and selling high.B. short selling high and buying low.C. earning risk-free economic profits.D. negotiating for favorable brokerage fees.E. hedging your portfolio through the use of options.47. To take advantage of an arbitrage opportunity, an investor wouldI) construct a zero investment portfolio that will yield a sure profit.II) construct a zero beta investment portfolio that will yield a sure profit.III) make simultaneous trades in two markets without any net investment.IV) short sell the asset in the low-priced market and buy it in the high-priced market.A. I and IVB. I and IIIC. II and IIID. I, III, and IVE. II, III, and IV48. The factor F in the APT model representsA. firm-specific risk.B. the sensitivity of the firm to that factor.C. a factor that affects all security returns.D. the deviation from its expected value of a factor that affects all security returns.E. a random amount of return attributable to firm events.49. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 25% and 50 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 14.59%50. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 20% and 20 securities?A. 12.5%B. 625%C. 4.47%D. 3.54%E. 14.59%51. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 20% and 40 securities?A. 12.5%B. 625%C. 0.5%D. 3.54%E. 3.16%52. In the APT model, what is the nonsystematic standard deviation of an equally-weighted portfolio that has an average value of σ(e i) equal to 18% and 250 securities?A. 1.14%B. 625%C. 0.5%D. 3.54%E. 3.16%53. Which of the following is true about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML is not relevant for the APT.54. Which of the following is false about the security market line (SML) derived from the APT?A. The SML has a downward slope.B. The SML for the APT shows expected return in relation to portfolio standard deviation.C. The SML for the APT has an intercept equal to the expected return on the market portfolio.D. The benchmark portfolio for the SML may be any well-diversified portfolio.E. The SML has a downward slope, the SML for the APT shows expected return in relation to portfolio standard deviation, and the SML for the APT has an intercept equal to the expected return on the market portfolio are all false.55. If arbitrage opportunities are to be ruled out, each well-diversified portfolio's expected excess return must beA. inversely proportional to the risk-free rate.B. inversely proportional to its standard deviation.C. proportional to its weight in the market portfolio.D. proportional to its standard deviation.E. proportional to its beta coefficient.56. Suppose you are working with two factor portfolios, Portfolio 1 and Portfolio 2. The portfolios have expected returns of 15% and 6%, respectively. Based on this information, what would be the expected return on well-diversified portfolio A, if Ahas a beta of 0.80 on the first factor and 0.50 on the second factor? The risk-free rate is 3%.A. 15.2%B. 14.1%C. 13.3%D. 10.7%E. 8.4%57. Which of the following is (are) true regarding the APT?I) The Security Market Line does not apply to the APT.II) More than one factor can be important in determining returns.III) Almost all individual securities satisfy the APT relationship.IV) It doesn't rely on the market portfolio that contains all assets.A. II, III, and IVB. II and IVC. II and IIID. I, II, and IVE. I, II, III, and IV58. In a factor model, the return on a stock in a particular period will be related toA. factor risk.B. non-factor risk.C. standard deviation of returns.D. both factor risk and non-factor risk.E. There is no relationship between factor risk, risk premiums, and returns.59. Which of the following factors did Chen, Roll and Ross not include in their multifactor model?A. Change in industrial productionB. Change in expected inflationC. Change in unanticipated inflationD. Excess return of long-term government bonds over T-billsE. Neither the change in industrial production, change in expected inflation, change in unanticipated inflation, nor excess return of long-term government bonds over T-bills were included in their model.60. Which of the following factors did Chen, Roll and Ross include in their multifactor model?A. Change in industrial wasteB. Change in expected inflationC. Change in unanticipated inflationD. Change in expected inflation and Change in unanticipated inflationE. All of these factors were included in their model61. Which of the following factors were used by Fama and French in their multi-factor model?A. Return on the market index.B. Excess return of small stocks over large stocks.C. Excess return of high book-to-market stocks over low book-to-market stocks.D. All of these factors were included in their model.E. None of these factors were included in their model.62. Consider the single-factor APT. Stocks A and B have expected returns of 12% and 14%, respectively. The risk-free rate of return is 5%. Stock B has a beta of 1.2. If arbitrage opportunities are ruled out, stock A has a beta of __________.A. 0.67B. 0.93C. 1.30D. 1.69E. 1.2763. Consider the one-factor APT. The standard deviation of returns on a well-diversified portfolio is 19%. The standard deviation on the factor portfolio is 12%. The beta of thewell-diversified portfolio is approximately __________.A. 1.58B. 1.13C. 1.25D. 0.76E. 1.4264. Black argues that past risk premiums on firm-characteristic variables, such as those described by Fama and French, are problematic because ________.A. they may result from data snoopingB. they are sources of systematic riskC. they can be explained by security characteristic linesD. they are more appropriate for a single-factor modelE. they are macroeconomic factors65. Multifactor models seek to improve the performance of the single-index model byA. modeling the systematic component of firm returns in greater detail.B. incorporating firm-specific components into the pricing model.C. allowing for multiple economic factors to have differential effects.D. modeling the systematic component of firm returns in greater detail, incorporatingfirm-specific components into the pricing model, and allowing for multiple economic factors to have differential effects.E. none of these statements are true.66. Multifactor models such as the one constructed by Chen, Roll, and Ross, can better describe assets' returns byA. expanding beyond one factor to represent sources of systematic risk.B. using variables that are easier to forecast ex ante.C. calculating beta coefficients by an alternative method.D. using only stocks with relatively stable returns.E. ignoring firm-specific risk.67. Consider the multifactor model APT with three factors. Portfolio A has a beta of 0.8 on factor 1, a beta of 1.1 on factor 2, and a beta of 1.25 on factor 3. The risk premiums on the factor 1, factor 2, and factor 3 are 3%, 5% and 2%, respectively. The risk-free rate of return is 3%. The expected return on portfolio A is __________ if no arbitrage opportunities exist.A. 13.5%B. 13.4%C. 16.5%D. 23.0%E. 11.6%68. Consider the multifactor APT. The risk premiums on the factor 1 and factor 2 portfolios are 6% and 4%, respectively. The risk-free rate of return is 4%. Stock A has an expected return of 16% and a beta on factor 1 of 1.3. Stock A has a beta on factor 2 of ________.A. 1.33B. 1.05C. 1.67D. 2.00E. .95。
混合型基金定价研究
混合型基金定价研究作者：赖秋睿李志远来源：《财讯》2019年第07期摘要：混合型基金与其他类型的基金有较大的区别，在于其能够在股票和债券之间灵活配置，因此仅用股票因子对其进行解释是不够合理的。
本文依据Fama和French的研究，对其提出的股票因子和债券因子在中国市场的样本上进行检验，发现了仅有股票因子和TERM因子显著。
本文对我国混合型基金的定价提供了参考。
关键词：资产定价；混合型基金；Fama-French因子模型一、研究背景混合型基金是一种能够对资产灵活配置的投资组合。
混合型基金独具的资产配置功能为资产规模较低，但是风险偏好中等偏上的投资者提供了投资的渠道，具有较广阔的市场。
截止2018年底，混合型基金份额共计1.65万亿份，占除货币市场基金外的总份额37.15%；规模共计1.69万亿，占除货币市场基金外的总规模34.26%，其份额和规模都仅次于债券型基金。
二、文献综述Sharpe，Linter，Treynor和Mossin（1964）提出了资产资本定价模型（Capital Asset Pricing Model，CAPM），他们认为资产价格的波动来源于市场的波动与资产本身特异的波动，因此资产的价格可以由市场指数和截距项来描述。
Fama，French（1992）发现了CAPM 在美国市场上的解释能力并不充足，他们提出了杠杆因子和市值因子。
根据这项研究，Fama，French （1993）提出了构造SMB，HML 和市场指数因子共同解释资产收益率的方法。
Fama 和French（1992）在FF三因子模型上引入了TERM和DEF因子，同时发现了市场因子能够被SMB，HML，TERM，DEF所解释。
在FF-三因子模型的基础上，Fama和French （2015）新增了投资因子和收益因子，并证明了这两个因子的模型对股票市场的解释能力更强。
赵胜民等（2016）认为，在中国市场上，五因子模型中的投资效应和收益效应并不明显，对于HML因子来说，这两个因子是冗余变量。
公司理财(双语)7Risk, Return
8- 18
Scenario Recession Normal Boom Expected return Variance Standard Deviation
squared deviation 0.0016 0.0000 0.0012
The expected rate of return on the portfolio is a weighted average of the expected returns on the securities in the portfolio.
8- 17
The rate of return on the portfolio is a weighted average of the returns on the stocks and bonds in the portfolio:
rP wB rB wS rS
5% 50% (7%) 50% (17%)
8- 7
E (rS ) 1 (7%) 1 (12%) 1 (28%) 3 3 3 E (rS ) 11%
Expected return
Expected return ：the weighted average of possible returns, with the weights being the probabilities of occurrence
9% 50% (11%) 50% (7%)
E (rP ) wB E (rB ) wS E (rS )
Portfolios
Rate of Return Stock fund Bond fund Portfolio -7% 17% 5.0% 12% 7% 9.5% 28% -3% 12.5% 11.00% 0.0205 14.31% 7.00% 0.0067 8.16% 9.0% 0.0010 3.08%
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FF三因素模型的主要内容
1993年，本论文正式标志着FF三因素模型的 建立 研究对象：股票、国债及公司债 计量方法：Black-Jensen-Scholes时间序列 因子：市场超额收益、规模和账面市值比这 三个股票风险因子 以及到期时间和违约风险这两个债券风险因 子
FF三因素模型的主要内容
具体形式：
资产定价理论回顾
内在价值学派的主要方法是通过公司未来现 金流来计算股票的“内在价值”，并进而预 测股票价格的变化。 但是，该模型的应用十分困难，因为公司未 来的现金流是难以准确预测的。
资产定价理论回顾
内在价值理论是股票分析的基础理论，但很难运 用于实际的定价行为。因此，后来的研究者另辟 蹊径，开启了“证券组合理论”。
1960年前后经济学家开始使用报酬和风险的关 系来解释股票的定价问题，主要代表人物有 Markowitz(1959) William Sharpe(1964)和Black Fisher(1972)等人他们普遍认为市场组合的均值 一方差分析是有效的，即股票的平均报酬是市场 风险因素Q值的正相关线性函数，而且市场P可 以满足解释影响平均报酬风险因素的需要。
FF三因素模型的基础
Samuelson(1965)和Fama(1965,1970)提出了有 效市场假说，该理论认为，资产的市场价格可以 迅速并充分的反映所有的相关信息。 资本资产定价模型（CAPM）问世以后，很多学 者就在有效市场假说条件下对其进行了实证检验。 Black Jensen和Scholes(1972)及Fama(1973)对 1969年以前的数据进行检验，结果证明了资本 资产定价模型（CAPM）的有效性。但对此后数 据的检验，CAPM模型却缺乏说服力，许多影响 股票收益的其他因素陆续被发现。
BM=期末每股权益与期末收盘价的比值 将所有股票分为小规模(S) 股票组合和大规模 股票组合(B) , 根据各年年末上市公司的BM 值 将股票分为低(L) 、中(M) 和高( H) 三个组合, 比例分别是30 %、40 %和30 % , 从而将股票 按照流通市值和BM 值独立分组, 交叉形成六 个组合, 即S/ L 、S/ M、S/ H、B/ L 、B/ M、 B/ H 组合, 分别计算t 年每周每个投资组合价 值加权的周度收益率
Common risk factors in the returns on stocks and bonds
--Fama-French三因子模型的诞生
郑震 蔡英玉 曹永娜
资产定价理论回顾
在过去相长的一段时间里，人们无法解释股 票价格和报酬的变动行为。 1934年底美国投资大师格雷厄姆完成《证券 分析》，标志着“内在价值理论”的诞生。 其后，又有众多学者围绕此理论进行了研究。 该理论主要观点是认为股票价格是围绕着股 票“内在价值”波动的，虽然由于各种非理 性原因股票价格会经常偏离“内在价值”， 但这种偏离会随着时间的推移而得到纠正。
价值因子的计算：
HML = ( S/ H + B/H) / 2 - (S/ L + B/ L) / 2 表示剔除SIZE 因素后高BM 与低BM 组合的收 益率差
FF三因素模型的验证
Fama和French(1998)又对1975-1995年间世 界主要证券市场的横截面数据进行了检验， 研究结果表明: (1)在13个证券市场中有12个证券市场的价值 型股票的收益率高于成长型股票，这证明了 账面市值比因子的解释力； (2) 16个主要证券市场中有11个证券市场上的 小规模公司收益率高于大公司，这证明了规 模因子的解释力。
FF三因素模型的在中国验证
吴世农、许年行（2004） 邓长荣(2005) 刘维奇、牛晋霞、张信东（2010） 经过实证研究，他们发现：中国股市存在显 著的账面市值比效应和模效应；三因子模 型比CAPM模型能更好地描述股票横截面收益 的变化。
谢谢
FF三因素模型的建立
Fama和French(1992)研究了美国市场1963-1990年间 的数据。他们首先分别检验了市值（ME）、账面市值 比（BE/ME）、财务杠杆（leverage）、市盈率（E/P） 和平均收益率之间的关系，发现这四个因子都有很强 的解释能力，而β则没什么解释能力。 随后Fama和French进行了多变量回归，ME和BE/ME 因子吸收了其他两个因子的影响，表现出了很强的解 释能力，而β虽然没什么解释能力，但是在ME和 BE/ME因子的联合回归中加入β，却可以提升回归模 型的拟合优度。 由此，Fama和French得出以下结论：β对股票平均收 益率横截面数据的解释能力很弱，而ME和BE/ME因子 的解释能力很强。
其中， 、 、 分别表示股票收益率、市场 收益率和无风险收益率。SMB表示由于公司 规模不同造成的风险溢价，HML表示由于账 面市值比不同所造成的风险溢价。
利用已构造六个投资组合价值加权的周度收 益率数据计算规模因子(SMB) 和价值因子 ( HML) , 具体方法如下: SMB = (S/ L + S/ M + S/ H) / 3 - (B/ L + B/ M + B/ H) /3 表示的是剔除BM 因素后小S I Z E 与大S I Z E 组合的收益率差