@article{Wang2011amendment,
abstract = {The classical APT model is of the form rj - E(rj) = \O{}j (I - EI ) +ε , where rj - E(rj) is the earning deviation (called basic ariance-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 ) + \O{}j (I - EI ) +\texttheta{}j (I - EI )2 +λj (I - EI )3 +δj (I - EI )4 +ε 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.},
author = {Shaojun Wang and Xiaoping Yang and Juan Cheng and Yafang Zhang and Peibiao Zhao},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
issn = {1792-6599},
journal = {Journal of Applied Finance & Banking},
keywords = {D46; E17; G11; G17; 330; arbitrage pricing models; skewness; Kurtosis; empirical analysis},
language = {eng},
number = {1},
pages = {163-177},
title = {The amendment and empirical test of arbitrage pricing models},
url = {http://hdl.handle.net/10419/49031},
volume = {1},
year = {2011}
}
