榫欐簮鏈熷垔缃?/p>
http://www.qikan.com.cn
Fama
鈥?/p>
French
浜斿洜绱犳ā鍨嬫洿鍏锋湁瑙ｉ噴鍔涘悧
浣滆�咃細鑳¤挋鐖?/p>
鏉ユ簮锛氥�婂悎浣滅粡娴庝笌绉戞妧銆?/p>
2017
骞寸
10
鏈?/p>
[
鎻愯
]
鑲＄エ瀹氫环闂涓�鐩存槸璧勬湰甯傚満鍏虫敞鐨勭儹鐐广�傛湰鏂囦互涓浗
A
鑲″競鍦?/p>
1995
骞?/p>
7
鏈堣嚦
2016
骞?/p>
6
鏈堝叡
252
涓湀鐨勮偂绁ㄦ暟鎹负鏍锋湰锛屽湪
Fama-French
涓夊洜绱犳ā鍨嬪熀纭�涓婂
Fama-French
浜斿洜绱犳ā鍨嬭繘琛屽疄璇佺爺绌躲�傞�氳繃閲囩敤
25
缁勫悎鏋勯�犳硶锛屽鑲＄エ鏀剁泭鏉ユ簮褰卞搷鍥犲瓙妫�楠岃〃鏄庯細
锛?/p>
1
锛?/p>
Fama-French
浜斿洜绱犳ā鍨嬫瘮
Fama-French
涓夊洜绱犳ā鍨嬫洿鍏锋湁瑙ｉ噴鍔涘害锛屽湪寮曞叆鐩堝埄鑳藉姏鍥?/p>
绱犲拰鎶曡祫妯″紡鍥犵礌鍚庯紝
Fama-French
浜斿洜绱犳ā鍨嬪急鍖栦簡璐﹂潰甯傚�兼瘮鍥犵礌瀵硅偂绁ㄦ敹鐩婄巼鐨勫奖鍝嶅姏
搴︼紱锛?/p>
2
锛変腑鍥?/p>
A
鑲″競鍦哄瓨鍦ㄨ妯℃晥搴斻�佷环鍊兼孩浠锋晥搴斻�佺泩鍒╄兘鍔涙晥搴斿拰鎶曡祫妯″紡鏁堝簲锛?/p>
锛?/p>
3
锛夋垜鍥借偂绁ㄥ競鍦哄熀鏈�傜敤
Fama-French
鑲＄エ瀹氫环浜斿洜绱犳ā鍨嬨�?/p>
鍏抽敭璇嶏細
Fama-French
浜斿洜绱犳ā鍨嬶紱
Fama-French
涓夊洜绱犳ā鍨嬶紱璧勪骇瀹氫环
鍩洪噾椤圭洰锛?/p>
2016
骞村害鍢夊叴瀛﹂櫌澶у鐢熺鐮旇缁冭鍒掞紙
SRT
锛夐噸鐐归」鐩紙椤圭洰缂栧彿锛?/p>
851716013
锛?/p>
涓浘鍒嗙被鍙凤細
F83
鏂囩尞鏍囪瘑鐮侊細
A
鏀跺綍鏃ユ湡锛?/p>
2017
骞?/p>
4
鏈?/p>
5
鏃?/p>
涓�銆佹枃鐚患杩?/p>
浠庣畝鍗曠殑鍗曞洜绱犳ā鍨嬪埌浜斿洜瀛愭ā鍨嬶紝浠庡崟涓�鐨勫競鍦洪闄╁洜绱犲埌鍖呭惈鍏徃鐨勮妯°�佽处闈㈠競鍊?/p>
姣斻�佸競鍦烘孩浠枫�佹姇璧勮兘鍔涘拰鐩堝埄鑳藉姏绛夊洜绱狅紝璧勪骇瀹氫环妯″瀷鍦ㄧ悊璁哄拰瀹炶瘉鏂归潰缁忓巻浜嗛暱鏃堕棿鐨?/p>
鍙戝睍銆?/p>
Sharpe
锛?/p>
1964
锛夈�?/p>
Lintner
锛?/p>
1965
锛夊拰
Black
锛?/p>
1972
锛夋彁鍑轰簡钁楀悕鐨勮祫鏈祫浜у畾浠锋ā鍨?/p>
锛?/p>
CAPM
锛夛紝璇ユā鍨嬪瀹氫簡璧勪骇鐨勬敹鐩婃潵婧愪簬璧勪骇鎵�鎵挎媴鐨勯闄╄繖涓�鍩烘湰鐞嗗康锛屾垚涓虹幇浠ｉ噾铻?/p>
甯傚満浠锋牸鐞嗚鐨勬敮鏌便�?/p>
Black
銆?/p>
Jensen
鍜?/p>
Scholes
锛?/p>
1972
锛夛紝
Blume
鍜?/p>
Friend
锛?/p>
1973
锛夛紝
Fama
鍜?/p>
MacBeth
锛?/p>
1973
锛夌瓑瀛﹁�呯殑鐮旂┒缁撹閮芥敮鎸佷簡
CAPM
鐞嗚鐨勬牳蹇冭鐐广�傝�屼箣鍚?/p>
Roll
锛?/p>
1977
锛夐
鍏堝
CAPM
妯″瀷鐨勫疄璇佹楠屾彁鍑鸿川鐤戝苟鎻愬嚭浜嗗鍒╁畾浠风悊璁猴紙
APT
锛夛紱
Stattman
锛?/p>
1980
锛夌爺绌?/p>
鍙戠幇锛岃处闈㈠競鍊兼瘮瓒婇珮鐨勫叕鍙稿皢鑾峰緱鏇撮珮鐨勮偂绁ㄦ敹鐩婄巼锛?/p>
Banz
锛?/p>
1981
锛夊彂鐜板叕鍙哥殑甯傚�兼瘮甯傚満
椋庨櫓婧环瀵硅偂绁ㄦ敹鐩婄巼鐨勮В閲婅兘鍔涙洿寮猴紱鍦ㄥ墠浜虹爺绌剁殑鍩虹涓婏紝
Fama
鍜?/p>
French
锛?/p>
1992
銆?/p>
1993
銆?/p>
1996
锛夊缇庡浗鑲＄エ鏀剁泭鐜囩殑褰卞搷鍥犵礌杩涜浜嗘繁鍏ョ爺绌讹紝鎻愬嚭鍏徃鎬诲競鍊笺�佽处闈㈠競鍊兼瘮绛?/p>
鍥犲瓙鍙緝濂藉湴瑙ｉ噴妯埅闈笂鑲＄エ鏀剁泭鐜囩殑宸紓鎬с�傛瘮杈冨苟鍙戠幇涓夊洜瀛愭ā鍨嬫瘮
CAPM
妯″瀷鍏锋湁
鏇村己瑙ｉ噴鍔涳紱涔嬪悗锛?/p>
Fama
鍜?/p>
French
锛?/p>
2013
锛夊鍘熸湁鐨勪笁鍥犵礌妯″瀷杩涜浜嗘敼杩涳紝鍦ㄤ笁鍥犵礌妯″瀷
涓婂姞鍏ョ泩鍒╄兘鍔涘洜绱犲拰鎶曡祫妯″紡鍥犵礌锛屾彁鍑轰簲鍥犵礌妯″瀷锛屼粠鑰岃兘鏇村ソ鍦拌В閲婅偂绁ㄦí鎴潰鏀剁泭鐜?/p>
鐨勫樊寮傘�傚湪鍥藉唴锛屽鑰呬笉浠呰繍鐢?/p>
Fama-French
涓夊洜瀛愭ā鍨嬮拡瀵逛腑鍥借偂绁ㄥ競鍦鸿繘琛屼簡澶ч噺鐮旂┒锛?/p>
鍚屾椂杩樺湪缁撳悎涓浗鑲＄エ甯傚満瀹為檯鎯呭喌鍜?/p>
Fama-French
涓夊洜瀛愭ā鍨嬬殑鍩虹涓婏紝鐩稿簲鍦板仛浜嗚澶氭寚