Our research uses multifactor model combined with cross - section regression and econometrics and analyzes 157 listed companies in shanghai and shenzhen securities markets from june 1st , 2001 to may 31st , 2002 實(shí)證研究采用多因素模型的理論框架,結(jié)合橫截面回歸方法和計(jì)量經(jīng)濟(jì)學(xué)檢驗(yàn)手段,對(duì)2001年6月1日- 2002年5月31日我國滬深兩證券市場(chǎng)共計(jì)157家上市公司分行業(yè)進(jìn)行了分析。
On the basis of that , we have an empirical research on the possible factor which influencing stock returns of our companies listed in shenzhen stock markert from a micro aspect . our research uses multifactor model combined with cross - section regression and econometrics , test the ff three - factor model of security portfolios and industry portfolios 實(shí)證研究采用多因素模型的理論框架,結(jié)合橫截面回歸方法和計(jì)量經(jīng)濟(jì)學(xué)的檢驗(yàn)手段,對(duì)深圳股票市場(chǎng)股票組合和行業(yè)組合的f / f的三因素模型進(jìn)行了實(shí)證研究。