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Empirical Test of Portfolio Theory and Application

Author: JiaoPeng
Tutor: LiuChun
School: Shenyang University of Technology
Course: Accounting
Keywords: Capital Asset Pricing Model Arbitrage Pricing Model Portfolio Empirical research
CLC: F830.59
Type: Master's thesis
Year: 2004
Downloads: 642
Quote: 1
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Abstract


The capital asset pricing model and arbitrage pricing model are two very important securities market pricing model. Greatly simplifies the complex process as the basis of modern financial theory, they will choose the risky assets, given a simple and beautiful pricing formula, so that investors can easily, widely apply them to solve the general problems in the investment decision-making. Although China's stock market, with the assumptions of the model, there is still a considerable gap, but there is no need to wait until the development of the market to some degree of adaptability to come to study the model. Instead, we should take advantage of the model's internal logic, practicality, the two models in China's stock market adaptability empirical test to discover the problem, and to promote the development of China's stock market. This paper is divided into five parts, the first part introduces the significance of this research, followed by a brief description of the research status at home and abroad of the capital asset pricing model and arbitrage pricing model, and finally introduce these two models are used to test ideas and method. The second part of the system to introduce a modern capital market pricing theory, modern portfolio theory, the capital asset pricing model theory arbitrage pricing model. The third part of the capital asset pricing model to an empirical test. The examination and cross-section of this part of the test is divided into time series test of two parts: the front part of the test, this paper Blaek a Jensen a Seholes method; to Fama-MaeBeth method in the latter part of the inspection. The fourth part of the examination of the arbitrage pricing model. The methods used herein are a the detectability factor analysis method to determine the number of factors and solving factor factor model obtained by sectional regression equation and \The fifth part is the conclusion, testing the capital asset pricing model and the following conclusions: the expected rate of return of the Shanghai Stock Exchange A-share market risk and stock exists a negative linear relationship, and non-systematic risk on the stock yield no effect. Seen, the yield of the stock depends not only on systemic risk, there are other important factors affect the stock yields. Further discussion of the factors that affect stock returns, and that, in addition to the systemic risk, the total market capitalization of the biggest factors that affect stock returns. Concluded that the arbitrage pricing model checking: three-factor model may be generally applicable, the first two factors are significant, but the third factor is not significant. Description of the development of China's stock market a short time, the system is not yet standardized. Empirical test of these two parts, we have selected the Shanghai A-share stock market nearly six years of data, the application of SPSS and EViewS statistical analysis software, regression and factor analysis, an objective test and analysis, and proposed some policy recommendations to improve the stock market.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Investment
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