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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
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dc.contributor.author | Wang, Shaojun | en |
dc.contributor.author | Yang, Xiaoping | en |
dc.contributor.author | Cheng, Juan | en |
dc.contributor.author | Zhang, Yafang | en |
dc.contributor.author | Zhao, Peibiao | en |
dc.date.accessioned | 2011-08-15 | - |
dc.date.accessioned | 2011-08-31T12:08:52Z | - |
dc.date.available | 2011-08-31T12:08:52Z | - |
dc.date.issued | 2011 | - |
dc.identifier.citation | |aJournal of Applied Finance & Banking|c1792-6599|v1|h1|nInternational Scientific Press|y2011|p163-177 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aInternational Scientific Press | en |
dc.subject.jel | D46 | en |
dc.subject.jel | E17 | en |
dc.subject.jel | G11 | en |
dc.subject.jel | G17 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | arbitrage pricing models | en |
dc.subject.keyword | skewness | en |
dc.subject.keyword | Kurtosis | en |
dc.subject.keyword | empirical analysis | en |
dc.title | The amendment and empirical test of arbitrage pricing models | - |
dc.type | Article | en |
dc.identifier.ppn | 665970145 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
econstor.citation.journaltitle | Journal of Applied Finance & Banking | en |
econstor.citation.issn | 1792-6599 | en |
econstor.citation.volume | 1 | en |
econstor.citation.issue | 1 | en |
econstor.citation.publisher | International Scientific Press | en |
econstor.citation.year | 2011 | en |
econstor.citation.startpage | 163 | en |
econstor.citation.endpage | 177 | en |
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