|
EconStor >
Scienpress Ltd, London >
Journal of Applied Finance & Banking >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/49031
|
| | |
| Title: | | The amendment and empirical test of arbitrage pricing models  |
| 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
|
| Files in This Item:
| |
|
| No. of Downloads:
| |
| last Month |
last 3 Month |
total |
|
|
|
|
|
| |
| | |
Download bibliographical data as:
BibTeX
|
| |
Share on:http://hdl.handle.net/10419/49031
|
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.
|