【摘要】：資產(chǎn)定價(jià)模型選擇問(wèn)題是實(shí)證金融研究領(lǐng)域一個(gè)基本的問(wèn)題。AIC、BIC是模型選擇中常用的兩個(gè)信息準(zhǔn)則�？墒�,在實(shí)際應(yīng)用中,AIC通常需要假設(shè)備選模型均是真實(shí)模型,或者至少是真實(shí)模型的較好近似。BIC通常依概率1選擇真實(shí)模型,如果備選模型中沒(méi)有真實(shí)模型,BIC選出的模型不具備現(xiàn)實(shí)意義。文章基于Fama-French三因子模型,在模型錯(cuò)誤指定下,首次運(yùn)用TIC準(zhǔn)則,選擇出模型集合中的最優(yōu)模型。實(shí)證分析表明,TIC與AIC、BIC間的結(jié)果差距是顯著的,從而說(shuō)明了AIC、BIC的不可靠性,同時(shí)TIC也非常顯著地支持了Fama-French三因子模型,這加強(qiáng)了運(yùn)用該模型進(jìn)行實(shí)證研究的說(shuō)服力。
[Abstract]:Asset pricing model selection is a basic problem in the field of empirical financial research. AIC and BIC are two common information criteria in model selection. However, in practical applications, AIC usually needs to assume that the alternative models are real models, or at least a better approximation of the real models. BIC usually selects the real models according to probability 1, if there is no real model in the alternative models. The model selected by BIC is not of practical significance. In this paper, based on the Fama-French three-factor model, the optimal model in the model set is selected by using the TIC criterion for the first time under the model error assignment. The empirical analysis shows that the result gap between TIC and AIC,BIC is significant, which shows the unreliability of AIC,BIC. At the same time, TIC also supports the Fama-French three-factor model very significantly. This strengthens the persuasion of using the model to carry on the empirical research.
【作者單位】： 中國(guó)人民大學(xué)漢青經(jīng)濟(jì)與金融高級(jí)研究院;
【基金】：中國(guó)人民大學(xué)科研基金資助項(xiàng)目(34312027)
【分類(lèi)號(hào)】：F224;F830.91

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本文編號(hào)：2474086