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The Test Of Momentum Capital Asset Pricing Model Including Higher-Order

Posted on:2008-07-07Degree:MasterType:Thesis
Country:ChinaCandidate:X Y ZhaoFull Text:PDF
GTID:2189360242978671Subject:Basic mathematics
Abstract/Summary:PDF Full Text Request
The capital asset pricing theory always was the core subject of financial domain , although our country stock market has experienced rapid development of more than 10 years , it was not in the mature development stock market yet. Some researches discovered that, our country stock market merely uses the system beta factor to weigh the risk of the investment is imperfect, moreover the market still was imperfect. Therefore it is especially essential to join the skewness and kurtosis factors, moreover the time conditional factor into the traditional asset pricing model.This article selects the monthly income rate between January,2000 to December,2005 in Shanghai and Shenzhen stock market as the research data ,and use the data to conduct the real diagnosis research for the model which is established in the article. The research discovered that, our country stock market has very strong systematic characteristic, and each sample combination has similar beta value, which holds basically and simultaneous change with the market.And the research discovered that the monthly rate of our country stock market refuses to obey the standard normal distribution, but is presents the distributed characteristic of peak and the fat tail; Next, after joined a peak factor in the traditional capital asset pricing model, it has not obvious influence to estimating model parameter , but it may effectively enhance the R 2of the model , then enhances the return fitting effect of the model. Through the Eviews software ,simultaneously the study discovered the stock market has the obvious the effect of scale ; When carrying on the model appraisal, the research discovered that the model joined the time condition factor is more superior, this indicates that when carrying on the parameter estimate, it could reduce the research accuracy to used temporal data only, but using the earlier period data as complete information to estimated worked the parameter,it can make the accuracy of the estimate result enhanced.
Keywords/Search Tags:Skewness, Higher Moment, Asset Pricing
PDF Full Text Request
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