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dc.contributor.advisor任宇
dc.contributor.author孟菲
dc.date.accessioned2016-02-14T08:08:38Z
dc.date.available2016-02-14T08:08:38Z
dc.date.issued2010-06-21 16:57:24.0
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/49399
dc.description.abstract套利定价模型(APT)是继资本资产定价模型(CAPM)之后,关于资产定价理论的又一经典论作,它比CAPM的约束条件更少,适用性更强。APT认为,在一个完备的资本市场中,任意资产的收益率都是由其风险定价的。资产的风险由系统风险和非系统风险两部分构成,与CAPM的单因素理论不同,APT认为系统风险是由K个普遍存在的公共因子共同决定的,由于每一资产对这K个公共因子的反应系数(敏感程度)不同,进而导致不同资产之间的收益率差别。至于非系统风险,APT与CAPM一样,认为可以通过资产组合将其分散。 然而APT本身既没有给出决定资产收益的风险因素的个数,也没有说明这些风险因素的具体构成,关于APT的绝大多...
dc.description.abstractArbitrage Pricing Theory(APT) is the most important development after Capital Asset Pricing Theory(CAPM) in the field of asset pricing theory. This theory is based on and derived from CAPM,but is much more than CAPM because of the fewer constraints and broader application in APT.According to APT,assets are priced by risk in an complete capital market,and the risk of assets is composed of...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=23712&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=26365
dc.subject套利定价理论
dc.subject公共风险因子
dc.subject主成分分析
dc.subjectGMM方法
dc.subject实证研究
dc.subjectAPT
dc.subjectFactors
dc.subjectPCA
dc.subjectGMM method
dc.subjectEmpirical study
dc.title中国股票市场套利定价模型的实证分析
dc.title.alternativeEmpirical Study of the Arbitrage Pricing Theory on China's Stock Market
dc.typethesis
dc.date.replied2010-05-28
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_数量经济学
dc.description.note学号:27720071152249


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