So we consider five financial indexes includes stock b / p , e / p , current stock size , current stock stru and financial levge by the international tradition , then descriptive statistical test method and cross section statistical test method proved that b / p and current stock size have marked effect on the securities yield besides coefficient b . in the third chapter , the article fut forward a risk factor model , estimates yield sequences of every risk factor by weight regression , and then estimates each risk factor coefficient of different stock by time sequence regression , at last we can reckon the portfolio risk o2p and yield rp which consists n stocks 結(jié)合國際慣例,文章考慮了股票的凈值市價比( b p ) ,市盈率倒數(shù)( e p ) ,流通規(guī)模( size ) ,流通比例( stru )和財務(wù)杠桿( levge )等五個財務(wù)指標(biāo),應(yīng)用描述性統(tǒng)計檢驗和橫截面統(tǒng)計檢驗等多種方法,結(jié)果表明,除系數(shù)以外,凈值市價比( b p )和流通規(guī)模( size )對證券收益率部有重要的影響。在論文的第三章,提出了一個基于多因素的風(fēng)險因子模型,并用加權(quán)回歸和時間序列回歸等方法估計出了不同證券的各風(fēng)險因子系數(shù)(類似于單指數(shù)模型中的系數(shù)) ,據(jù)此,即可衡量出一個包括n只股票的組合的風(fēng)險_ p ~ 2和收益率r _ p 。