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本文采用单一指数模型作为β系数的估计方法,并将这一方法估计的历年β系数值作为其真实值的近似。然后选取中国股市的数据建立了中国股市的布鲁姆调整模型,并构造了一种采用两期历史数据的预测方法对β系数进行了预测,最后利用样本数据对建立的布鲁姆调整模型进行了显著性检验。
In this paper, a single exponential model is used as the estimation method of β coefficient, and the β coefficient value of the calendar year estimated by this method is taken as an approximation of its true value. Then we choose the Bloom adjustment model of China’s stock market by using the data of Chinese stock market and construct a forecasting method using two historical data to forecast the β coefficient. Finally, we use the sample data to make the Bloom adjustment model Significance test.