famafrench模型及其流动性修正模型在我国创业板的适用性分析word格式论文.docx

accuracy.KEYWORDS：Fama-Frenchmodel, the GrowthEnterprise Market, Liquidity factor目录第一章绪论..................................................................................................................11.1 研究背景...................................................................................................11.2 研究意义...................................................................................................21.3 研究目的...................................................................................................31.4 研究内容...................................................................................................31.5研究方法...................................................................................................5 第二章文献综述及重要资产定价模型评述..............................................................6 2.1文献综述...................................................................................................62.1.12.1.22.1.3国内外资产定价理论研究综述.....................................................6国内外流动性与资产定价研究综述.............................................9国内外相关研究综述简析...........................................................112.2 经典资产定价理论评述.........................................................................12第三章相关数据选取及处理说明............................................................................173.1 FF三因子构造数据处理173.1.2相关数据处理...............................................................................174.2.1变量的相关性分析.......................................................................25 组合序列及因子序列的平稳性检验...........................................25第五章创业板流动性溢价验证及流动性修正模型的适用性...............................375.2 流动性修正的模型对各行业的检验.....................................................435.3 结论.........................................................................................................48第六章结论及不足....................................................................................................506.1本文的结论..............................................