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Asset Pricing Theory And Its Empirical Study On Chinese Stock Market

Posted on:2004-09-27Degree:MasterType:Thesis
Country:ChinaCandidate:D LinFull Text:PDF
GTID:2156360125463233Subject:Technical Economics and Management
Abstract/Summary:PDF Full Text Request
We have to understand the time and risk it takes during the process of payment in order to determine the value of an item of asset. For the value of many assets, the adjustment of risk is a more important decisive factor. The asset pricing theory being confirmed as a specialized study field is the outcome of many economists' collective efforts. And its research can be divided into two aspects: one is the expansion of Capital Asset Pricing Theory (CAPM) and the other is the empirical analysis of the model.First, CAPM was analyzed theoretically and traditional CAPM was combined with the discount factor—m. Then two modified models for CAPM were further analyzed—the model after revising unbiased estimation conditions and dynamically modified model.Second, the paper further dealt with two important directions of deepening CAPM—conditional CAPM and intertemporal CAPM, which raised the cognition of CAPM to a dynamic point of view.Third, the macroeconomic factors are also not negligible besides the influence on stock price exerted by microeconomic ones. Arbitrage Pricing Theory (APT) figures that the completely individual movement in asset return should not have any risk prices. The risk price or expected return of one kind of security should only be relative to its common changing factors or covariance of the security. This paper analyzed APT using the law of one price.Last, the paper tested on stock market with historical closing data of Shanghai stock market and found that Capital Asset Pricing Model does not accord with Chinese stock market. And I found that idiosyncratic risk (such as PE ratio) had remarkable influences on stock returns as well. When I conducted empirical analysis using APT on macroeconomic factors affecting stock prices, I found that there is long-term equilibrium relationship between stock index and five other macroeconomic factors.
Keywords/Search Tags:Capital Asset Pricing Model, Conditional Capital Asset Pricing Model, Intertemporal Capital Asset Pricing Model, Arbitrage Pricing Theory, Security Market
PDF Full Text Request
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