Rp - Rf = a + b(Rm - Rf) + c(Rm - Rf) D + ep
其中：D是一个虚变量，当RM > Rf时，D = 1；否则D = 0。于是资产组合的β值在熊市时就为b，在牛市时就为b+c。如果回归得到正的c值，就说明有市场时机能力存在；同时如果回归得到正的a值，就说明有证券选择能力的存在。
H-M模型
百科内容来自于：
基本假设与模型
参考资料
Merton R.C (1981): "On Market Timing and Investment Performance of Managed Performance I - An Equilibrium Theory of Value for Market Forecasts", Journal of Business 5, p363-406
Henriksson R.D., Merton R.C. (1981): "On the Market Timing and Investment Performance of Managed Portfolios II - Statistical Procedures for Evaluating Forecasting Skills", Journal of Business 54, p513-533
$firstVoiceSent
- 来自原声例句