The amendment and empirical test of arbitrage pricing models

Artikel

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Journal of Applied Finance & Banking ; ISSN: 1792-6599 ; Volume: 1 ; Year: 2011 ; Issue: 1 ; Pages: 163-177 ; International Scientific Press

Classification and Topics

• Classification: Wirtschaft ; Value Theory ; General Aggregative Models: Forecasting and Simulation: Models and Applications ; Portfolio Choice; Investment Decisions ; Financial Forecasting and Simulation
• Subject: arbitrage pricing models ; skewness ; Kurtosis ; empirical analysis

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Wang, Shaojun ; Yang, Xiaoping ; Cheng, Juan ; Zhang, Yafang ; Zhao, Peibiao
• Event: Veröffentlichung
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/49031
• Last update: 10.03.2025, 11:43 AM CET