השוואת שיטות
סקרו את השיטות שבחרתם זו לצד זו; שורות שבהן יש הבדל מודגשות.
| מודל סיכוני רב-גורמי (פאמה-פרנץ', APT)× | רגרסיית ריבועים פחותים רגילים (OLS)× | |
|---|---|---|
| תחום≠ | מימון | אקונומטריקה |
| משפחה | Regression model | Regression model |
| שנת המקור≠ | 1993 | 2019 |
| הוגה השיטה≠ | Fama & French (factor model); Ross (Arbitrage Pricing Theory) | Wooldridge (textbook treatment); classical least squares |
| סוג≠ | Multi-factor linear regression model | Linear regression |
| מקור מכונן≠ | Fama, E. F., & French, K. R. (1993). Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics, 33(1), 3-56. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| כינויים≠ | Fama-French model, Fama-French three-factor model, Fama-French five-factor model, arbitrage pricing theory | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| קשורות | 5 | 5 |
| תקציר≠ | A factor risk model is a multi-factor framework that links asset returns to systematic risk factors such as the market, value, size, and momentum. The Fama-French three- and five-factor models (1993) and Ross's Arbitrage Pricing Theory (1976) decompose portfolio risk and detect alpha. | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
| ScholarGateמערך נתונים ↗ |
|
|