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Empirical Test Of Portfolio Theory And Application

Posted on:2005-10-14Degree:MasterType:Thesis
Country:ChinaCandidate:P JiaoFull Text:PDF
GTID:2156360122997730Subject:Accounting
Abstract/Summary:PDF Full Text Request
CAPM and APT are two very important securities-pricing models, which simplify the very complex process of portfolio selection as the base of modern finance. They have concise and pretty formations, and they can be easily, widely employed by investors to dissolve general questions existed in the actions of investment decision. Since there is gap between status in quo of China's capital market and the hypotheses of the two models, we wouldn't wait until market's status become to be ideal. On the contrary, we can make full use of their logicality and practicability to analyze and to improve our capital market by doing empirical tests on adaptability of the two models.The thesis has five parts. The first one has three segments: we introduce the significance of thesis in the first place, then briefly explain the inso-foreign study condition in the field of CAPM and APT, and at last talk about our thoughtway and method of tests. The second one systematically introduced main contest of modern portfolio theory, CAPM and APT that are parts of modern asset-pricing theory. The third one is the empirical test of CAPM, which include time-series test and cross-section test. We use the Black-Jensen-Scholes in the former test, and use the Fama-MacBeth method in the latter test. The fourth one is the empirical test of APT. In this part, we use factor-loading model to make certain the number of factors of APT equation, and we attempt to reject the APT by testing the multifactor equation and using own variance variable. The fifth one is conclusion. The result of CAPM's test is: the systematic risk in Shanghai Stock Exchange market has negative relationship with stock expected return and has not influence on the latter. So we can learn that stock return do not depend on systematic risk barely and there are others important factor which influence the return. The further discussion provide us the answer, the factor is Total Market Value. The result of APT's test is: three-factor model may be suitable for Shanghai Stock Exchange market, and the first two factors are obvious while the third one is not. It reveals that our market is not mature, and itsregulations are not perfect. In the two tests parts, we select the later six-year data and mainly use regression analysis, factor analysis to test and analyze data objectively by using SPSS and EViews in this thesis. In the last we put forward some political advice.
Keywords/Search Tags:CAPM, APT, Portfolio, Empirical Test
PDF Full Text Request
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