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利用Fama三因子模型构建的A股周度百股策略

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策略简介

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本文链接:https://www.6young.site/blog/e4799312.html

clsl

在本次测试中,我首先计算出三个因子的数值,然后使用Fama-MacBeth回归、分组收益率以及单因子策略评价每个因子的效果;最后实现了两个最简单的多因子策略

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