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洋蔥 發問時間: 社會與文化語言 · 6 年前

[英文] 英翻中 10點

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Our final observation on size-related tests involves the results reported in

table 6, which exclude the 750 securities that were used to construct the basis

portfolios. The mean-variance efficiency of both indices is rejected in this

smaller sample of securities, with aggregate marginal significance levels less

than 10-5 for the equally-weighted index and less than 10-2 for the value-

weighted index. By contrast, only two APT formulations are rejected at

conventional significance levels: the five-factor raw-return model was rejected

at an aggregate marginal significance level near 2% and the five-factor excess-

return version was marginally rejected at just over the 9% level. These results

probably reflect the size of these subsamples - there are fewer very large and

very small firms with which to reject the theory.

1 個解答

  • 旻安
    Lv 6
    6 年前

    我們最後觀察大小相關的測試,包括報告中的結果表 6、 排除被用來構建基礎的 750 證券投資組合。這兩個指數的均值-方差效率被拒絕在這小樣本的聚合邊際意義層次較少的證券,比 10-5 的同樣加權指數和小於 10-2 的值-加權的指數。相比之下,只有兩個 APT 配方被拒絕在常規意義級別: 五因素原料返回模型被拒絕在接近 2%和五因素過剩-聚合邊際意義級別返回版本輕微在被否決就在 9%的水準。這些結果大概反映這些標本的大小-有少非常大和拒絕其理論非常小的公司。

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