Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/49031 
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dc.contributor.authorWang, Shaojunen
dc.contributor.authorYang, Xiaopingen
dc.contributor.authorCheng, Juanen
dc.contributor.authorZhang, Yafangen
dc.contributor.authorZhao, Peibiaoen
dc.date.accessioned2011-08-15-
dc.date.accessioned2011-08-31T12:08:52Z-
dc.date.available2011-08-31T12:08:52Z-
dc.date.issued2011-
dc.identifier.citation|aJournal of Applied Finance & Banking|c1792-6599|v1|h1|nInternational Scientific Press|y2011|p163-177en
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
dc.language.isoengen
dc.publisher|aInternational Scientific Pressen
dc.subject.jelD46en
dc.subject.jelE17en
dc.subject.jelG11en
dc.subject.jelG17en
dc.subject.ddc330en
dc.subject.keywordarbitrage pricing modelsen
dc.subject.keywordskewnessen
dc.subject.keywordKurtosisen
dc.subject.keywordempirical analysisen
dc.titleThe amendment and empirical test of arbitrage pricing models-
dc.typeArticleen
dc.identifier.ppn665970145en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
econstor.citation.journaltitleJournal of Applied Finance & Bankingen
econstor.citation.issn1792-6599en
econstor.citation.volume1en
econstor.citation.issue1en
econstor.citation.publisherInternational Scientific Pressen
econstor.citation.year2011en
econstor.citation.startpage163en
econstor.citation.endpage177en

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