Fama和French三因素模型中的非线性依赖关系

IF 1.2 4区经济学 Q3 BUSINESS, FINANCE

Investment Analysts Journal Pub Date : 2023-04-03 DOI:10.1080/10293523.2023.2179162

Jakub Bandurski, Łukasz Postek

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引用次数: 0

摘要

摘要本文讨论了Fama和French三因素模型中的非线性依赖性问题。使用美国和欧洲的数据评估了包括非线性项在内的五个时间序列模型，并将其与基准线性模型进行了比较。分析发现，修正的Fama和French三因素模型中的非线性相关性具有统计学意义，并为潜在的回报产生过程提供了额外的解释力。然而，这些非线性依赖关系在经济意义上是次要的。

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Nonlinear dependencies in the Fama and French three-factor model

ABSTRACT This article addresses the topic of nonlinear dependencies in the Fama and French three-factor model. Five time-series models, including nonlinear terms, are assessed using US and European data and compared with a benchmark linear model. The analysis found that nonlinear dependencies in the modified Fama and French three-factor model were statistically significant and provided additional explanatory power for the underlying return-generating process. However, these nonlinear dependencies are of secondary importance in the economic sense.

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来源期刊

Investment Analysts Journal BUSINESS, FINANCE-

CiteScore

1.90

自引率

11.10%

发文量

期刊介绍： The Investment Analysts Journal is an international, peer-reviewed journal, publishing high-quality, original research three times a year. The journal publishes significant new research in finance and investments and seeks to establish a balance between theoretical and empirical studies. Papers written in any areas of finance, investment, accounting and economics will be considered for publication. All contributions are welcome but are subject to an objective selection procedure to ensure that published articles answer the criteria of scientific objectivity, importance and replicability. Readability and good writing style are important. No articles which have been published or are under review elsewhere will be considered. All submitted manuscripts are subject to initial appraisal by the Editor, and, if found suitable for further consideration, to peer review by independent, anonymous expert referees. All peer review is double blind and submission is via email. Accepted papers will then pass through originality checking software. The editors reserve the right to make the final decision with respect to publication.