為什麼CAPM預測失準？Fama-French三因子告訴你答案 Fama and French: Three Factor Model

from 論文投資學 Quantified Dialogues · host J&A

這裡是論文投資學 Quantified Dialogues，每周用AI探討有意思的投資學術論文和我們一起踏入投資的專業世界論文大綱: 這篇學術文章，由 Renuka Sharma 和 Kiran Mehta 撰寫，深入探討了Fama-French三因子模型在解釋印度股市股票回報行為方面的應用與有效性。內文討論:   A. 為什麼市值（Size）和帳面市價比（B/M）能預測股票的預期報酬？ B. 論文裡說 β 沒有解釋力，這不就打臉 CAPM 模型了嗎？ C. 市值小的公司為什麼長期報酬比較高？是風險還是市場低估？ D. 高 B/M 比的股票就是「價值股」嗎？這樣分類真的可靠嗎？ E. 他們是怎麼用回歸方式來檢驗哪些因子對報酬有影響？ F. 有沒有可能 Size 和 B/M 的效果只是統計巧合？ G. 這個模型跟三因子模型有什麼關聯？三因子模型就是從這篇來的嗎？ H. 論文的資料是從哪個市場？這個結果能套用到其他國家嗎？ I. 這些變數預測的報酬是超額報酬嗎？還是總報酬？ J. 如果我照這篇的方法選股，實務上要怎麼操作？有什麼工具可以用？   資料來源: Majka, Marcin. "Fama-French Three-Factor Model." Powered by Firstory Hosting

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為什麼CAPM預測失準？Fama-French三因子告訴你答案 Fama and French: Three Factor Model

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