| Abstract | 第1-10页 |
| 摘要 | 第10-11页 |
| Introduction | 第11-16页 |
| Background | 第11-13页 |
| The motivation of this paper | 第13页 |
| The main contents of this paper | 第13-15页 |
| The structure of this paper | 第15-16页 |
| 1. Literature review | 第16-22页 |
| ·Development of Asset pricing theory | 第16-17页 |
| ·Introduction of BARRA model | 第17-18页 |
| ·The advantage of BARRA model | 第18-19页 |
| ·The application of BARRA model | 第19-20页 |
| ·The limitation of BARRA model | 第20-22页 |
| 2. Industry risk factor | 第22-25页 |
| ·The difference between this paper and BARRA model | 第22页 |
| ·Combination between BARRA model and industry factor | 第22-23页 |
| ·The introduction of natural resource | 第23-25页 |
| 3.The step to build BARRA model with industry descriptors | 第25-38页 |
| ·Data information collection | 第25页 |
| ·The principle of data collection | 第25页 |
| ·The data used for BARRA model | 第25页 |
| ·Related descriptors selection | 第25-31页 |
| ·The industry descriptors | 第25-28页 |
| ·Other descriptors | 第28-30页 |
| ·Processing the data information | 第30-31页 |
| ·Risk indices formulation | 第31-32页 |
| ·The principle of risk indices formulation | 第31页 |
| ·The weighted weight | 第31-32页 |
| ·Factor return estimation | 第32-35页 |
| ·The calculation of returns | 第32页 |
| ·Regression excess return on the risk indices | 第32-33页 |
| ·Combination of the result | 第33-35页 |
| ·Industry risk | 第35-36页 |
| ·Updating the BARRA model | 第36-38页 |
| 4 The improvement from industry descriptors for BARRA model | 第38-42页 |
| ·The significance of alpha | 第38-39页 |
| ·The R square | 第39-42页 |
| 5 The comparison of BARRA model and others | 第42-45页 |
| ·Fama French model and BARRA model | 第42-44页 |
| ·Fama French model with industry descriptors and without industry descriptors | 第42-43页 |
| ·Comparison between Fama French model and BARRA model | 第43-44页 |
| ·Industry descriptors and Industry index | 第44-45页 |
| 6. The application of BARRA model in recommending stocks | 第45-51页 |
| ·The application of BARRA model in real world | 第45页 |
| ·The construction of BARRA model by out of sample test | 第45-46页 |
| ·Monthly return | 第46-48页 |
| ·Accumulative return | 第48-50页 |
| ·Conclusion from application | 第50-51页 |
| 7.Conclusion | 第51-54页 |
| ·Conclusion from this paper | 第51-52页 |
| ·How to construct BARRA model | 第51页 |
| ·How inclusion of industry descriptors improve BARRA model | 第51-52页 |
| ·The comparison between BARRA model and others | 第52页 |
| ·The real application of recommending stocks | 第52页 |
| ·Future work beyond this paper | 第52-54页 |
| Bibliography | 第54-56页 |
| Acknowledgments | 第56-57页 |
| Appendix | 第57页 |
