金融理论与实践
金融理論與實踐
금융이론여실천
FINANCIAL THEORY AND PRACTICE
2013年
8期
72-77
,共6页
CAPM模型%偏最小二乘回归%二次多项式%β值%多重共线性
CAPM模型%偏最小二乘迴歸%二次多項式%β值%多重共線性
CAPM모형%편최소이승회귀%이차다항식%β치%다중공선성
CAPM model%partial least-squares regression%quadratic polynomial%values of β%multi-collinearity
在William Sharpe提出的资本资产定价模型（CAPM）中，引入多个影响资产回报率的因素，根据偏最小二乘的二次多项式理论对中国股票市场的多影响因子问题进行分析与优化。找出并克服各因子间的多重共线性问题，从而提取出影响股票收益回报率的重要因素变量，为股市的技术分析提供一个可信的工具。
在William Sharpe提齣的資本資產定價模型（CAPM）中，引入多箇影響資產迴報率的因素，根據偏最小二乘的二次多項式理論對中國股票市場的多影響因子問題進行分析與優化。找齣併剋服各因子間的多重共線性問題，從而提取齣影響股票收益迴報率的重要因素變量，為股市的技術分析提供一箇可信的工具。
재William Sharpe제출적자본자산정개모형（CAPM）중，인입다개영향자산회보솔적인소，근거편최소이승적이차다항식이론대중국고표시장적다영향인자문제진행분석여우화。조출병극복각인자간적다중공선성문제，종이제취출영향고표수익회보솔적중요인소변량，위고시적기술분석제공일개가신적공구。
This paper introduces into the Capital Assets Pricing Model (CAPM) proposed by William Sharpe with multiple factors influencing the return on assets, analyzes factors influencing Chinese stock market according to the quadratic polynomial theory based on partial least-squares, and finds out and avoids multi-collinearity between these factors. Based on above, the most important factors of return on equity are obtained to provide a reliable tool for stork analysis.
