マルチファクターモデル
マーケットモデルを構築する場合、株価決定要因をシングルファクターモデルの様に市場要因だけに限定することなく、企業の財務指標やマクロ指標、マーケット内部の指標などを数多くの株価決定要因を用いて構築したモデル。多くの指標や分析比率を用いてモデルを構築しているので、株価リターンの説明力が上昇。モデルとしては、シングルファクターモデルよりは精緻になります。
ゴールデン・チャート社提供
マーケットモデルを構築する場合、株価決定要因をシングルファクターモデルの様に市場要因だけに限定することなく、企業の財務指標やマクロ指標、マーケット内部の指標などを数多くの株価決定要因を用いて構築したモデル。多くの指標や分析比率を用いてモデルを構築しているので、株価リターンの説明力が上昇。モデルとしては、シングルファクターモデルよりは精緻になります。
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