请使用我们计算的三因素时注明来源姜国华

1、THREEFACTORPage 1请使用我们计算的三因素时注明来源：姜国华、叶昕、饶品贵、祝继高Daterfsmbhmlrmf1993-010.24%0.1320-0.13320.41001993-020.24%-0.06210.08700.14601993-030.24%-0.11090.0902-0.27231993-040.24%0.4136-0.13240.35211993-050.24%0.0136-0.0570-0.27441993-060.24%0.01570.11320.03751993-070.24%-0.0057-0.0323-0.16401993-080.24%0.017

2、7-0.10120.04491993-090.24%0.03520.0678-0.03171993-100.24%0.04150.0025-0.08941993-110.24%0.11460.13380.16011993-120.24%0.0296-0.1306-0.13741994-010.24%0.05490.0505-0.10391994-020.24%0.0217-0.05680.00301994-030.24%0.06080.1244-0.10441994-040.24%-0.03240.0341-0.16161994-050.24%-0.0109-0.0020-0.06811994

3、-060.24%-0.0358-0.0121-0.16871994-070.24%-0.03830.0969-0.28001994-080.24%0.0601-0.48951.20971994-090.24%0.04570.02710.05541994-100.24%0.02520.0023-0.19221994-110.24%-0.0141-0.05670.03951994-120.24%0.0097-0.0104-0.05711995-010.24%-0.01150.0172-0.12981995-020.24%-0.00330.0252-0.02131995-030.24%0.0107-

4、0.09440.15321995-040.24%0.0024-0.0057-0.10221995-050.24%0.0429-0.09090.18311995-060.24%0.01610.0644-0.09521995-070.24%-0.02300.05300.08801995-080.24%-0.03850.14770.04141995-090.24%-0.01620.0871-0.00731995-100.24%0.00590.0561-0.00031995-110.24%0.0202-0.0736-0.09831995-120.24%-0.00380.0190-0.12891996-

5、010.24%-0.00390.0784-0.03981996-020.24%-0.0060-0.03320.02641996-030.24%0.00430.00370.00361996-040.24%0.03800.06170.28081996-050.41%-0.05110.0765-0.03581996-060.41%-0.14290.05510.23531996-070.41%0.11510.25950.11161996-080.41%-0.01310.0507-0.00951996-090.28%-0.0163-0.00190.05741996-100.28%0.11240.2958

6、0.20441996-110.28%0.07290.03950.06871996-120.28%-0.0637-0.0671-0.17561997-010.28%0.05980.04780.06181997-020.28%0.0208-0.04090.05331997-030.28%0.0518-0.04960.18431997-040.28%-0.0127-0.08450.08511997-050.28%-0.0511-0.0301-0.08541997-060.28%0.0046-0.0524-0.0067THREEFACTORPage 21997-070.28%0.04220.0231-

7、0.06861997-080.28%0.01860.1183-0.00661997-090.28%0.0171-0.0232-0.11181997-100.28%-0.0243-0.06270.12991997-110.24%0.0239-0.0080-0.05011997-120.24%0.0718-0.03810.03611998-010.24%0.03090.00060.01421998-020.24%0.02230.0489-0.02341998-030.24%0.04680.02610.01931998-040.24%0.06890.01570.08431998-050.24%0.0

8、6610.07740.05311998-060.24%0.0096-0.0240-0.06401998-070.23%0.01440.0158-0.01751998-080.23%0.03350.0088-0.13291998-090.23%0.07020.02150.07801998-100.23%0.0598-0.0503-0.01541998-110.23%-0.0213-0.01200.01771998-120.23%-0.03020.0085-0.08351999-010.23%0.02260.0132-0.01371999-020.23%0.00670.0030-0.0458199

9、9-030.23%0.05730.05830.06561999-040.23%-0.00690.0317-0.03991999-050.23%-0.0658-0.06890.11641999-060.23%-0.0249-0.02270.33491999-070.17%0.0066-0.0073-0.05751999-080.17%0.04480.02500.00961999-090.17%0.0149-0.0105-0.03171999-100.17%0.0154-0.0070-0.04631999-110.17%0.0200-0.0091-0.04291999-120.17%-0.0116

10、-0.0357-0.05192000-010.17%0.0268-0.06170.13602000-020.17%0.0348-0.01790.11552000-030.17%0.05860.02480.06072000-040.17%-0.01590.01930.01652000-050.17%0.02230.03580.02602000-060.17%0.00220.05330.02102000-070.17%0.02100.03490.04492000-080.17%0.0325-0.0149-0.00732000-090.17%0.0356-0.0268-0.05052000-100.

11、17%0.03490.02530.02402000-110.17%0.00880.00990.05322000-120.17%0.0209-0.0050-0.00342001-010.17%-0.00220.0477-0.00982001-020.17%-0.00600.0400-0.06112001-030.17%0.0264-0.00330.06892001-040.17%0.0236-0.0284-0.00672001-050.17%0.0441-0.01700.03542001-060.17%0.01120.02530.00522001-070.17%-0.0008-0.0037-0.

12、13492001-080.17%0.0113-0.0085-0.03782001-090.17%-0.02510.0146-0.04982001-100.17%-0.01760.0246-0.04832001-110.17%0.01930.00420.03482001-120.17%-0.01280.0230-0.06422002-010.17%-0.04170.0106-0.10342002-020.17%0.0116-0.01550.02432002-030.14%0.0278-0.01070.0582THREEFACTORPage 32002-040.14%0.01840.01490.0

13、4202002-050.14%-0.0019-0.0035-0.08792002-060.14%-0.03470.06670.14332002-070.14%0.0077-0.0229-0.04522002-080.14%0.00350.00370.00782002-090.14%-0.0088-0.0131-0.05792002-100.14%-0.0136-0.0064-0.05232002-110.14%-0.03650.0204-0.05822002-120.14%-0.0019-0.0204-0.05402003-010.14%0.01550.01110.09732003-020.1

14、4%0.0078-0.00070.00642003-030.14%-0.02420.0257-0.00762003-040.14%-0.04940.0665-0.00442003-050.14%-0.01170.01130.04072003-060.14%-0.0078-0.0010-0.06432003-070.14%-0.03110.0202-0.01172003-080.14%0.0102-0.0113-0.03532003-090.14%-0.00900.0131-0.04492003-100.14%-0.06100.0710-0.02172003-110.14%-0.01290.03

15、050.02032003-120.14%-0.08100.06540.06002004-010.14%0.03420.00180.06082004-020.14%0.0402-0.01620.06282004-030.14%0.02730.00390.02102004-040.14%0.00150.0291-0.09542004-050.14%0.01340.0037-0.02512004-060.14%-0.03380.0015-0.10222004-070.14%-0.03730.0054-0.01702004-080.14%-0.01330.0274-0.03862004-090.14%

16、-0.0053-0.00410.04682004-100.14%-0.0253-0.0102-0.05682004-110.14%0.0413-0.00060.01412004-120.14%-0.02330.0196-0.06182005-010.14%-0.0012-0.0025-0.06972005-020.14%0.0067-0.00380.09282005-030.14%-0.0319-0.0155-0.09782005-040.14%-0.05790.0150-0.03342005-050.14%0.07450.0421-0.09682005-060.14%-0.01840.011

17、40.01672005-070.14%-0.08500.0033-0.00472005-080.14%0.0955-0.02710.07932005-090.14%0.0228-0.0214-0.00462005-100.14%0.0017-0.0054-0.05842005-110.14%0.02570.00790.00282005-120.14%-0.05710.00680.05982006-010.14%-0.01060.01730.09622006-020.14%-0.00530.00670.03772006-030.14%-0.00610.00190.00762006-040.14%

18、-0.03090.01610.12132006-050.14%0.12160.00600.17212006-060.14%0.05990.02470.03012006-070.14%0.0503-0.0118-0.06302006-080.14%-0.0070-0.00990.02532006-090.15%0.0141-0.01900.05122006-100.15%-0.05750.04300.03402006-110.15%-0.13940.00490.13772006-120.15%-0.09790.02710.2558THREEFACTORPage 42007-010.15%0.06970.01000.06802007-020.15%0.12630.06150.04232007-030.17%0.1292-0.0018