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Description: Three- factor Model Timing Strategy of Shanghai and Shenzhen 300 Index.
Fama s three factors that affect the stock price depends mainly on the following three factors.
A: Market excess return (RMT)
B: Scale Factor (SMB)
C: book-to-market ratio (HML)
The strategy objective is to construct the small-cap style wheeled strategy based on the Fama three-factor model.
First edition Zhang Shude prepared (sdzhang@wind.com.cn) September 5, 2013
reference:
Factor Analysis and Screening of Multifactor Stock Selection Model Ⅰ: Valuation and Financial Growth Indicators- Quantitative Research Series XVII.
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