Abstract
Based on basic assumptions and related corollaries about attribute of SMB and HML as non-systemic risk factors, considering CAPM residuals as non-systemic risk premium, proceeding cointegration ananlysis on CAPM residuals, SMB and HML, this paper sets up a long-term equilibrium model on them, revealing that SMB and HML are non-systemic risk premium factors, because SMB and HML can well explain the information about non-systemic risk premium contained in CAPM residuals.
This Paper is supported by the Fundamental Research Funds for the Central Universities (2009B23314), and Funds for Philosophy and Social Science Research Projects of Jiangsu Province (2010SJD630039).
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References
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© 2012 Springer-Verlag Berlin Heidelberg
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Lu, X., Cai, T., Lu, Q. (2012). Attribute of SMB and HML as Non-systemic Risk Factors: An Empirical Study on CAPM Residuals. In: Jin, D., Lin, S. (eds) Advances in Electronic Engineering, Communication and Management Vol.1. Lecture Notes in Electrical Engineering, vol 139. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27287-5_95
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DOI: https://doi.org/10.1007/978-3-642-27287-5_95
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