文献类型：期刊文章

作　　者：李传乐[1] 王美今[2]

机构地区：[1]华南师范大学数学科学学院金融数学与金融工程系 [2]中山大学岭南学院经济系

出　　处：《统计研究》

年　　份：2006

卷　　号：23

期　　号：12

起止页码：58-62

语　　种：中文

收录情况：BDHX、BDHX2004、CSSCI、CSSCI2006_2007、JST、NSSD、RCCSE、RWSKHX、SKJJZZ、ZGKJHX、核心刊

摘　　要：This paper provides a stringent proof for the general test of latent variable model with time-varying risk premium developed by Ferson and Foerster(1993) and conducts a test by selecting “the size portfolio” as sample in Chinese stock market.The Block-Bootstrap method is also adopted to study the finite sample properties of GMM.The result reveals that the Block-Bootstrap simulation of GMM is robust and P-value based on asymptotic distribution tends to be underestimated.The empirical result shows that the China’s stock market can not reject the “ 1 latent variable model”.The conclusion of this paper manifests the essence of risk and return in the China’s stock market and has great significance to the policy-making.

关 键 词：时变风险溢价  潜变量模型  Block-Bootstrap方法  

分 类 号：F123.16]