Explorations into Factors Explaining Money Market Returns
Explorations into Factors Explaining Money Market Returns
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货币市场收益解释因素探讨
DOI：
10.1111/j.1540-6261.1994.tb04784.x
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发表时间：
1994
影响因子：
8
通讯作者：
J. Scheinkman
中科院分区：
文献类型：
--
作者：
Peter J. Knez;Robert B. Litterman;J. Scheinkman
在本文中，作者衡量并解释了描述货币市场回报的常见“因素”。给出了三因素和四因素模型的结果。作者发现，三因素模型平均解释了大多数货币市场回报总变化的 86%，而四因素模型平均解释了这种变化的 90%。他们使用模拟投资组合来解释这些因素所代表的系统性风险。美国金融协会版权所有 1994。
In this article, the authors measure and interpret the common 'factors' that describe money market returns. Results are presented for both three- and four-factor models. The authors find that the three-factor model explains, on average, 86 percent of the total variation in most money market returns while the four-factor model explains, on average, 90 percent of this variation. Using mimicking portfolios, they provide an interpretation of the systematic risks represented by these factors. Copyright 1994 by American Finance Association.