Show simple item record

dc.contributor.advisor陈蓉
dc.contributor.author刘春海
dc.date.accessioned2016-01-13T08:40:53Z
dc.date.available2016-01-13T08:40:53Z
dc.date.issued2013-07-03 14:51:58.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/77191
dc.description.abstract近十年来,中国债券市场的发行量和交易量表现出强劲的增长势头,在居民投资资产的选择中,固定收益类资产的投资所占的比重日益增加,债券市场已经渐渐成为机构、个人投资者用来规避中国股市大幅度波动风险的重要场所。国内学者们也陆续开始对中国债券市场上的风险和收益关系进行相关研究,对债券风险溢价的研究是重点之一。 本文选取了中国债券市场和美国债券市场上十年的收益率数据,主要对比分析了三因子与CP因子在中美两国债券市场上的拟合效果,对比中美两国国债收益在不同风险因素下的显著差异。文章发现在美国市场上CP因子的预测能力明显好于三因子,而在中国市场上两者比较接近,在中国市场上三因子包含了CP因子大部分的预测信息...
dc.description.abstractOver the past decade, the issue of the amount of the bond market and trading scale exhibited a strong growth momentum, increasing the proportion of investment in fixed-income assets which in the residents' choice of investment assets, the bond market has gradually become an important place which institutions and personal investmentused to circumvent the risk of large fluctuations of the Chinese st...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=36577&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=38709
dc.subject风险溢价
dc.subject三因子
dc.subjectCP因子
dc.subjectTerm Premia
dc.subjectThree-Factor
dc.subjectCP Factor
dc.titleCP因子与三因子:中美债券市场比较
dc.title.alternativeThe CP Factor and Three-Factors : A Comparison between the Chinese and USA Bond Markets
dc.typethesis
dc.date.replied2013-05-23
dc.description.note学位:经济学硕士
dc.description.note院系专业:经济学院_金融工程
dc.description.note学号:15620101151952


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record