Arbitrage Pricing Theory And Empirical Test

Stock Market Research is mainly to research the rate of Return of risk assets. Nowadays, CAPM is still the core about the domestic popular textbook description of the asset pricing theory, and the introduction of APT is generally too broad. However, with the rapid development of economy, APT increasingly gained much attention. In this paper, the New Chinese stock market data on APT was examined, drawn on the Chinese stock market is more true of the research findings, identified the impact of Chinese stock market development in a number of important factors, used the kit in investment decision making APT in order to solve practical problems, which on the one hand broadens the scope of their research, on the other hand was to promote the sound development of Chinese stock market has provided a new reference, which is objectively beneficial to Chinese economic development.This thesis first introduced the development of modern asset pricing theory. Proposed the shortcoming in CAPM empirical research in order to propose APT, Then, extracted common factor which used A stock data in shanghai stock exchange market, and tested APT with two-path regression. The results showed that APT weak applies in Chinese Shanghai stock exchange market. And then, quoted suppositional variables which is specific and in line with our objective economic conditions in order to improve APT model, extracted common factor which used the data in Chinese Shenzhen component index, tested models, the results showed that the non-systematic risk is significant impact the Chinese stock market, and the improved model is more suitable to measure Chinese Stock Market.