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在原本三因子模型的基础上加入了盈利能力以及投资水平因子之后发现HML变成了冗余变量,这样的结论与我国现有的研究不符。对于五因子模型的解释是否应跟随市场的变动而改变,对于我国市场来说五因子模型能否展现出比三因子更强的有效性,都有待研究。本文将对模型描述及因子定义进行分析,并对三因子模型与五因子模型的对比结果加以阐述。
Based on the original three-factor model, we found that the HML has become a redundant variable after adding the profitability and the investment level factor. This conclusion is inconsistent with the existing research in our country. Whether the explanation of the five-factor model should be changed according to the changes of the market remains to be studied whether the five-factor model can show stronger effectiveness than the three factors in our country’s market. This article will analyze the model description and the definition of the factors, and expounds the comparison between the three-factor model and the five-factor model.