Can the three-factor model explain momentum.

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yeozunggang 发表于 2009-12-25 12:16:19 |AI写论文

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Can the three-factor model explain momentum. and reversal? Explain in
terms of factor loadings.
What is FF momentum disaster?

Make difference..

沙发

Enthuse 发表于 2009-12-26 03:34:41

need more details.

藤椅

conan3 发表于 2009-12-26 17:46:02

I can't understand the precise meaning of reversal and momentum in finance. Need more concrete explanations.

板凳

发表于 2010-2-5 20:30:12

不能，Fama-French三因子模型可以部分解释长期反转现象（即reversal），但不能解释动量效应（即momentum）。

lmxcz：龙，梦想成真

报纸

4rapid 发表于 2010-2-5 22:05:13

FF3里的因子没有动量效应，应该不能解释这个。反转不太清楚，原PAPER还没看

地板

垃圾树 发表于 2010-2-6 16:19:05

FF3如果能解释动量，那Cahart不就白写了

Can the three-factor model explain momentum. [推广有奖]