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Title:The amendment and empirical test of arbitrage pricing models PDF Logo
Authors:Wang, Shaojun
Yang, Xiaoping
Cheng, Juan
Zhang, Yafang
Zhao, Peibiao
Issue Date:2011
Citation:[Journal:] Journal of Applied Finance & Banking [ISSN:] 1792-6599 [Volume:] 1 [Year:] 2011 [Issue:] 1 [Pages:] 163-177
Abstract:The classical APT model is of the form rj − E(rj) = Øj (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 ) + Øj (I − EI ) +θj (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.
Subjects:arbitrage pricing models
skewness
Kurtosis
empirical analysis
JEL:D46
E17
G11
G17
Document Type:Article
Appears in Collections:Journal of Applied Finance & Banking

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