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文章基本信息

  • 标题:The Amendment and Empirical Test of Arbitrage Pricing Models
  • 本地全文:下载
  • 作者:Shaojun Wang ; Xiaoping Yang ; Juan Cheng
  • 期刊名称:Journal of Applied Finance and Banking
  • 印刷版ISSN:1792-6580
  • 电子版ISSN:1792-6599
  • 出版年度:2011
  • 卷号:1
  • 期号:1
  • 出版社:Scienpress Ltd
  • 摘要:

    The classical APT model is of the form rj − E(rj) = βj(I − EI ) +εj , where rj − E(rj) is the earning deviation (called basic variance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model as follows rj= E(rj) + βj(I − EI ) +θj(I − EI )^2 +λj(I − EI )^3 +δj(I − EI )^4 +εj

    Based on the regression analysis method, and the fitting degree, one can arrive at this re-modified model has a more reasonable explanation level for securities pricing.

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