Attribute of SMB and HML as Non-systemic Risk Factors: An Empirical Study on CAPM Residuals

机译：SMB和HML作为非系统性风险因素的属性：CAPM残留量的实证研究

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Based on basic assumptions and related corollaries about attribute of SMB and HML as non-systemic risk factors, considering CAPM residuals as non-systemic risk premium, proceeding cointegration ananlysis on CAPM residuals, SMB and HML, this paper sets up a long-term equilibrium model on them, revealing that SMB and HML are non-systemic risk premium factors, because SMB and HML can well explain the information about non-systemic risk premium contained in CAPM residuals.

机译：基于SMB和HML属性作为非系统性风险因素的基本假设和相关推论，将CAPM残差视为非系统性风险溢价，对CAPM残差，SMB和HML进行协整分析，建立了长期均衡在它们上建立模型，表明SMB和HML是非系统性风险溢价因素，因为SMB和HML可以很好地解释CAPM残差中包含的非系统性风险溢价信息。

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《International conference on electronic engineering, communication and management;EECM 2011》|2011年|p.589-593|共5页
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XiaoGuang Lu; Tao Cai; QingChun Lu;
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中图分类通信;
关键词
scale risk premium; value risk premium; SMB; HML; non-systemic risk factor;

机译：规模风险溢价;价值风险溢价; SMB; HML;非系统性危险因素;

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Attribute of SMB and HML as Non-systemic Risk Factors: An Empirical Study on CAPM Residuals

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