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Journal of Applied Finance & Banking >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/49031
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Wang, Shaojun | | en_US |
| dc.contributor.author | | Yang, Xiaoping | | en_US |
| dc.contributor.author | | Cheng, Juan | | en_US |
| dc.contributor.author | | Zhang, Yafang | | en_US |
| dc.contributor.author | | Zhao, Peibiao | | en_US |
| dc.date.accessioned | | 2011-08-15 | | en_US |
| dc.date.accessioned | | 2011-08-31T12:08:52Z | | - |
| dc.date.available | | 2011-08-31T12:08:52Z | | - |
| dc.date.issued | | 2011 | | en_US |
| dc.identifier.citation | | Journal of Applied Finance & Banking 1792-6599 1 2011 1 163-177 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/49031 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.subject.jel | | D46 | | en_US |
| dc.subject.jel | | E17 | | en_US |
| dc.subject.jel | | G11 | | en_US |
| dc.subject.jel | | G17 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | arbitrage pricing models | | en_US |
| dc.subject.keyword | | skewness | | en_US |
| dc.subject.keyword | | Kurtosis | | en_US |
| dc.subject.keyword | | empirical analysis | | en_US |
| dc.title | | The amendment and empirical test of arbitrage pricing models | | en_US |
| dc.type | | Article | | en_US |
| dc.identifier.ppn | | 665970145 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Journal of Applied Finance & Banking
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