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和棋 · 2020年07月06日

问一道题:NO.PZ2020021002000124

问题如下:

In their later work, Fama and French (2015) added two more factors. Which of the following is a basis for one of these new risk factors?

选项:

A.

Operating profitability

B.

Current assets to current liabilities

C.

Net profit to total assets

D.

Last month performance

解释:

A is correct. Operating profitability

Fama and French extended the model in 2015 by suggesting two additional factors:

1. RMW, which is the difference between the returns of companies with high (robust) and low (weak) operating profitability; and

2. CMA, which is the difference between the returns of companies that invest conservatively and those that invest aggressively.

老师上课讲的是新加的模型和HML有密切相关性。HML是基于B/M比率来的。请问为什么可以认为operation profitability和B/M有关呢?

1 个答案

品职答疑小助手雍 · 2020年07月06日

在价值vs成长的这个因素里,也可以拿P/E来说吧,成长股高估值,价值股低估值。

那么operational profitability对应的是分母里那个E嘛~是相关的