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The Application of BARRA Model with different weighted methods in Chinese Stock Market

Advances in Applied Economics and Finance

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Field Value
 
Title The Application of BARRA Model with different weighted methods in Chinese Stock Market
 
Creator Bian, Guang
 
Subject Barra Model; risk ;factors ; active portfolio; preparation
 
Description Since the factors can represent the components of returns, as seen by the financial analyst, the multiple-factor model is a natural representation of the real environment. Barra multiple-factor model has been widely used in this mature capital market. Many investors use this model to get the estimates of the market risk and pursuit excess returns. As an active and effective model. Barra multiple-factor model can provide us robust and precise risk forecast in stock market. In this paper, Barra multiple-factor model is constructed with some effective factors in Chinese stock market. Then, we analysis the effectiveness of this model by using different weighted methods. After descriptor selection and testing, we choose nine significant factors to establish the Barra multiple-factors model. Through the research of different weighted methods of estimating factor returns, exponentially declining weighted method is better than average weighted method.
 
Publisher World Science Publisher
 
Contributor —
 
Date 2012-10-04
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
—
 
Format application/x-download
 
Identifier http://worldsciencepublisher.org/journals/index.php/AAEF/article/view/797
 
Source Advances in Applied Economics and Finance; Vol 2, No 2 (2012); 340-345
2167-6348
 
Language eng
 
Relation http://worldsciencepublisher.org/journals/index.php/AAEF/article/view/797/638
 
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