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阿摸 發問時間: 社會與文化語言 · 6 年前

[英文] 英翻中 20點

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The results for portfolios based on own variance mirror those obtained in

the dividend-yield case. The mean-variance efficiency of the CRSP indices is

rejected at almost identical marginal significance levels in most cases and more

sharply for some of the remaining statistics, particularly those relating to the

value-weighted index. The APT basis portfolios do not yield intercepts that are

significant over the whole sample with the exception of the five-factor raw-

return model which receives a marginal rejection at the 9% level. In addition,

many of the F statistics are marginally significant (between the 6% and 10%

level) in the first five-year period, although the remaining test statistics are

typically grossly insignificant (many at the 90% level and larger). Again, the

information in the test statistics is a reliable guide to the behavior of the

individual portfolio intercepts, except perhaps for the highest own-variance

portfolio, which has moderately large intercepts across three of the four

subperiods - although they are not very precisely estimated and usually are

statistically The basic message is similar: the rejections of the

mean-variance efficiency of bath CRSP indices suggest the ability to reject

some asset pricing models, and the failure to reject the APT pricing restriction

suggests that the theory provides an adequate account of the risk and return of

the own-variance portfolios.

1 個解答

評分
  • 旻安
    Lv 6
    6 年前
    最佳解答

    基於自己的方差的投資組合的結果反映那些在獲得股息收益率情況。CRSP 指數的均值-方差效率是拒絕幾乎相同邊際意義在大多數情況下和一級更多急劇的一些剩餘的統計數字,特別是那些有關值加權的指數。APT 基礎組合不會產生有的截取在整個樣品除五因素原料-重大返回接收 9%一級邊際排斥反應的模型。另外很多的 F 統計數字是輕微重大 (6%至 10%級別) 在第一個五年期間,雖然剩餘測試統計通常微乎其微 (多層次和更大的 90%)。再次,測試統計資訊中的資訊是可靠的行為指南個人投資組合截取,可能除外) 最高自己的差異跨越三個四個具有中等大截取的投資組合歲歲-雖然他們沒有非常精確地估計,通常是統計學的基本資訊是類似: 拒絕的浴 CRSP 指數均值-方差效率建議能力的拒絕一些資產定價模型和未能拒絕定價限制的 APT表明理論提供足夠的帳戶的風險和回報的自己的方差的投資組合。

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