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The application of asset pricing models : the two-China Fund

Author: ZhangDiFang
Tutor: GanXingZuo
School: Fudan University
Course: Finance
Keywords: CAPM Capital Asset Pricing APT Hedge pricing Bloomberg EM QFII Tracking error China's securities market Securities market of Taiwan
CLC: F224
Type: PhD thesis
Year: 2006
Downloads: 1642
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Abstract


The paper is based on two comtemporary asset pricing models, ie. CAPM (Capital Asset Pricing Model) and APT (Asset Pricing Theory), to apply into two funds by utilising two popular financial systems, Bloomberg and Barra or EM, to find two Proxy portfolio to mimick the performance of the two funds. The conclusion is whether CAPM or APT applies better in China. In the end, we offer some guidance for Chinese securities market by hoping the more mature development. The paper is constructed by 7 chapers, one introduction, five contents and one conclusion.Chaper 1 Introduction: the author briefly reviews the current theorial development of CAPM and APT, the popular financial service companies, ex. Barra, and the motives of the research and main innovative points of the thesis. The two funds the author used here are China Fund Inc., and Taiwan Opportunity Fund which are managed by Martin Currie Asset Management Ltd.Chaper 2 Theoretical and Empirical Analysis of CAPM: the author divides into the single and extended multifactor theory of CAPM. Regarding the multifactor CAPM, it could divide into Nonlinear CAPM and Conditional CAPM.Chaper 3 Theoratical and Empirical Analysis of APT: the author divides APT into multifactor APT and FF, besides the different methodology of APT models.Chapter 4 APT’s application EM in the real financial world: by introducing the research of linear APT model by Alvin Stroyny, the current chairman of EM. Besides, the risk models and risk decomposition Barra models are described.Chapter 5 the empirical analysis (Part I): First of all, the design of the problems. Then Bloomberg solution is introduced. In the end, the author got two proxy portfolios with ten stocks each matching for China Fund Inc., and Taiwan Opportunity Fund and compared the two funds by showing the different correlation coefficient, β and a. In conclusion, two funds are applicable to CAPM models, even in five year investment horizon.Chapter 6 the empirical analysis (Part II): First of all, the author described the EM soltions. Then he demostrates the proxy portfolios by using tracking errors and the variances of the proxy portfolios.Chapter 7 Conclusion: First, the author compares the different proxy portofilio by using Bloomberg and EM system. Second, discusses thhe current problems in Chinese stock market. Finally, we could divide our conclusion into several reasons to influence the application of APT or CAPM and offer some guidance to Chinese equity market. In China, , the average investment horizon is shorter, the data set is less, the market is less efficent and less complicated than the international market. Thus, it adopts CAPM better, vice versa. In a word, CAPM could bring China Equity market toward maturer market by lifting up the restrictions in three directions: allowingmore financial tools, quickier media transmission and liberlizing banking systems in China.

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