攻读学士学位期间学术成果(四)

货币政策、宏观经济波动与美国房地产价格——基于VAR模型的实证研究作者:张国峰 指导教师:殷林森 摘要: 本文采用1999年一季度至2015年一季度的季度数据,通过构建VAR模型对美国的货币政策、宏观经济波动和房地产价格之间的动态关系进行实证研究。研究发现     Read more
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Troy Feb 25, 2018

Undergraduate Thesis

Fama-French Five Factor Model in China Stock Market Author: Guofeng ZhangMentor: Linsen Yin Abstract:This paper firstly focus on the application of Fama-French five factor model in Chinese stock market, by sampling A-share listed firms for the period from July 1995 to December 2017. The explanatory power of each factor is explored by the redundancy test and regression analysis. The validity of the three-factor model and the five-factor model are tested by GRS test and three measures of regression intercept term proposed by Fama & French (2015). Then, using the time of Split-share structure reform as the cut-off point, we repeat the above tests for the sample periods and compare the change of the capital market efficiency before and after Split-share structure reform     Read more
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Troy Feb 18, 2018

本科毕业论文

Fama-French五因子模型在A股市场的实证检验作者:张国峰指导教师:殷林森摘要:本文以1995年7月至2017年12月A股上市公司为样本,首先在全样本下对五因子模型在A股市场的适用性进行检验,通过冗余检验和回归分析探究各因子的解释能力,通过GRS检验和Fama & French(2015)提出的3个衡量回归截距项的指标检验三因子模型和五因子模型的有效性。然后以股改作为分界点,分别对股改前后样本期重复上述检验,并对比研究前后资本市场效率的变化     Read more
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Troy Feb 12, 2018