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
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorWang, Shaojunen_US
dc.contributor.authorYang, Xiaopingen_US
dc.contributor.authorCheng, Juanen_US
dc.contributor.authorZhang, Yafangen_US
dc.contributor.authorZhao, Peibiaoen_US
dc.date.accessioned2011-08-15en_US
dc.date.accessioned2011-08-31T12:08:52Z-
dc.date.available2011-08-31T12:08:52Z-
dc.date.issued2011en_US
dc.identifier.citationJournal of Applied Finance & Banking 1792-6599 1 2011 1 163-177en_US
dc.identifier.urihttp://hdl.handle.net/10419/49031-
dc.description.abstractThe 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.en_US
dc.language.isoengen_US
dc.subject.jelD46en_US
dc.subject.jelE17en_US
dc.subject.jelG11en_US
dc.subject.jelG17en_US
dc.subject.ddc330en_US
dc.subject.keywordarbitrage pricing modelsen_US
dc.subject.keywordskewnessen_US
dc.subject.keywordKurtosisen_US
dc.subject.keywordempirical analysisen_US
dc.titleThe amendment and empirical test of arbitrage pricing modelsen_US
dc.typeArticleen_US
dc.identifier.ppn665970145en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Journal of Applied Finance & Banking

Files in This Item:
File Description SizeFormat
665970145.pdf320.45 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.