摘要
介绍套利定价理论即APT模型,并对APT以及APT实证分析中存在的一些不足进行简单论述,在此基础上介绍渐近主成分分析法。运用渐近主成分分析法对我国证券市场35只股票的单因子APT模型、五因子APT模型、十因子APT模型进行实证分析,并与CAPM以及它们相互之间关系进行比较研究。
An introduction is made on the Arbitrage Pricing Theory, i.e. APT model and also a simple explanation is made on the shortcomings existing in APT and APT empirical analysis. Basing on this, near Component analysis method is introduced. By using ear component analysis method an empirical analysis is made on single factor APT model, five - factor APT model, ten - factor APT model for thirty - five stocks in China＇ s securities market, and also a comparisonal study is made with CAPM and the relationship among them.
出处
《河南金融管理干部学院学报》
CSSCI
2008年第1期90-95,共6页
Journal of Henan College of Financial Management Cadres
