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Asset Pricing Model Empirical Research In The Shanghai Stock Market

Posted on:2005-06-03Degree:MasterType:Thesis
Country:ChinaCandidate:X L WangFull Text:PDF
GTID:2206360122480692Subject:Quantitative Economics
Abstract/Summary:PDF Full Text Request
The Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory(APT)have been the sill of modern financial theory. They are core of pricing theory .Countless empirical research has been conducted to test the validity of CAPM and APT at different markets and different period. During the last ten years, our stock markets have been developing rapidly, and we want to know all those important theories how to change in our country. In the thesis ,The author tries to explain the following question: 1,Under traditional hypothesis, Will CAPM adapt to Shanghai stock market or not. Does the measure of market risk-beta explain the earning of stock market? or beta have been "death"? 2,If we find that do not explain stock's yield ,and we how to find out other factors affecting stock's yield, can we explore effective factors if we adopt the way of APT?3,If we find CAPM and APT all have been rejected, can we use other means to solve the question of pricing.After empirical research, the author makes following conclusion:1,In Shanghai stock market, we don't find the regulation of CAPM;The relation of beta and the yield of group is not direct proportion, and also not linear 2,We can get one public factor if we adopt the way of APT, but the public factor is not ,and we feel difficult if we try to get a specific public factor.In the thesis there are the following innovations:1,The author not only applies the traditional empirical method-BJS, but also add her new method.2,After the author finds empirical result can't be explained, takes into account testing whether there has a public factor or not, rather than apply the factor subjectively.The structure of the thesis: in chapter One, the author explains the thesis's background,aim and framework; Chapter Tow explains CAMP and APT's integrated contents, and the core of each theory is emphasized. At the their relationship is summed up; chapter Three summarizes the ways of empirical CAPM and APT, There are three ways in history : Inspection of the risk and income relation, Time CAPM of the array is examined , Inspection of CAPM of the cross section Chapter Four is the empirical part and the author questions the some points; Real example result indicates CAPM model stock market will not be applicable in Shanghai, and systematic risk should not be able to explain earning ratio non- according to assumption of this thesis, but the real example result is not the first innovation of this thesis, It is not the subjective explanation factor of joining earning ratio in the model, but it has confirmed first with the analytic approach of the factor first that the public factor that is the influential earning ratio exists, Real example result has indicated stock and stock group has a public influence factor in to make up, but this public factor is uncertain, because it is really difficult to explore to whether we can establish the public factor of the clear quantitative relation with earning ratio. Chapter five is the conclusion of the thesis, the author wants to find out reasons why there are still some questions and how we should solve these questions.
Keywords/Search Tags:CAPM, BETA, APT, Factor analysis, Behavioral finance
PDF Full Text Request
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