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The Multi-factor Capital Assets Pricing Model Based on Downside Risk and Its Empirical Analysis

Author: ZhangBaoHua
Tutor: TangXiangJin
School: Wuhan University of Technology
Course: Applied Mathematics
Keywords: Capital Asset Pricing Model Downside risk Three Factor Pricing Model Scale factor Book market capitalization ratio
CLC: F224
Type: Master's thesis
Year: 2007
Downloads: 243
Quote: 0
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Abstract


The pricing of financial assets has been the focus of research in the field of financial, is a basic research problem. Traditional asset pricing model with mean-variance to measure risk. Variance measure of risk The disadvantages, contrary to investors of the risk of real psychological feelings. In actual investment in the project, investors are concerned about the possibility of revenue below expectations, while the excess part of the excess return, do not usually viewed as a risk. Therefore, the variance method exaggerated the extent of the risk. The text is divided into a total of five chapters, organized as follows: Chapter 1 introduces the background and significance of the topic, the purpose of the study as well as domestic and foreign research status and existing problems. And pointed out the direction of research, ideas and methods of the subject. Chapter 2 first reviews the theory of financial economics, theory the bud and prosperity of stage. Then focused on the capital asset pricing (CAPM) theory, from the establishment of the CAPM to the development and improvement of the pricing model, and the model number of problems. Chapter 3 to establish a downside risk-based asset pricing model (D-the CAPM), D-The CAPM and the traditional CAPM are identical in form, just in the D-CAPM with β_i ~~ D instead CAPM in β_i, it The said β_i meaning similar. Then on β_i ~ D value briefly introduced, and also discussed the β_i ~ D estimation method. Then this article randomly selected Shanghai Stock Exchange 50 A shares as an object of study, and data processing. The last single-factor model of traditional and improved regression testing can be seen from the test results improved pricing model is superior to the traditional single-factor model. Chapter 4 three factors downside risk-based capital asset pricing model, in practice, in addition to the β outside, some of the factors related to firm characteristics also has the ability to explain stock returns. These factors include the size of the company (ME), the inverse of the price-earnings ratio (E / P), book value and market value of more than (BE / ME). So we went on to the third chapter to the single factor model again improved, adding scale factor and BM factor in the model, in order to establish a new model. Then the three-factor model of traditional and improved test results again show that the ability to explain or adjusted goodness of fit improved three-factor model shows the superiority of the theoretically should have. Chapter 5 is a summary of the work made.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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