| 套利定价理论在我国证券市场的实证研究——基于渐近主成分分析方法 |
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| 引用本文： | 尹向飞,陈柳钦.套利定价理论在我国证券市场的实证研究——基于渐近主成分分析方法[J].河南金融管理干部学院学报,2008,26(1):90-95. |
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| 作者姓名： | 尹向飞 陈柳钦 |
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| 作者单位： | 1. 南开大学,经济学院,天津,300071
2. 天津社会科学院,天津,300191 |
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| 摘 要： | 介绍套利定价理论即APT模型，并对APT以及APT实证分析中存在的一些不足进行简单论述，在此基础上介绍渐近主成分分析法。运用渐近主成分分析法对我国证券市场35只股票的单因子APT模型、五因子APT模型、十因子APT模型进行实证分析，并与CAPM以及它们相互之间关系进行比较研究。
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| 关 键 词： | APT 渐近主成分分析 拟合优度 公共因子 |
| 文章编号： | 1008-7796(2008)01-0090-06 |
| 修稿时间： | 2007年12月29 |
An Empirical Study on Arbitrage Pricing Theory in China's Securities Market——Basing on Near Key Component Analysis Method |
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| YIN Xiang-fei,CHEN Liu-qin.An Empirical Study on Arbitrage Pricing Theory in China''''s Securities Market——Basing on Near Key Component Analysis Method[J].Journal of Henan College of Financial Management Cadres,2008,26(1):90-95. |
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| Authors: | YIN Xiang-fei CHEN Liu-qin |
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| Institution: | YIN Xiang-fei1,CHEN Liu-qin2 (1.School of Economics,Nankai Univercity,Tianjin 300071,China,2.Tianjin Institute of Socical Science,Tianjin 300191,China) |
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| Abstract: | An introduction is made on the Arbitrage Pricing Theory,i.e.APT model and also a simple explanation is made on the shortcomings existing in APT and APT empirical analysis.Basing on this,near component analysis method is introduced.By using ear component analysis method an empirical analysis is made on single factor APT model,five-factor APT model,ten-factor APT model for thirty-five stocks in China's securities market,and also a comparisonal study is made with CAPM and the relationship among them. |
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| Keywords: | APT near key component analysis Goodness-of-Fit common factor |
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