The Robustness of the APT to Alternative Estimators

We test the robustness of the APT to two alternative estimation procedures: the Fama and MacBeth (1973) two-step methodology; and the one-step procedure due to Burmeister and McElroy (1988). We find that the APT is indeed sensitive to the chosen estimator and assumptions about the factor structure of stock returns. We believe that our findings have implications for the estimation of asset pricing models in general.     

Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market

This paper investigates the empirical evidence of the pricing of macroeconomic factors in the Japanese stock market during the bubble period using Arbitrage Pricing Theory (APT) model. We also examine pre- and post-bubble periods in order to compare the robustness of priced factors over the bubble period. We find that the empirical content of the APT, namely the implied across-equation pricing restrictions, is not rejected in any of the sample period.     

有政府的动态资产定价模型

文章建立了一个有政府的动态资产定价模型.政府被模型化为具有垄断力量的市场参与者,它可以利用自己的税收和交易行为影响市场.我们求解了一个政府先行,私人跟随的均衡,得到了一个资产定价的双因子(总消费因子和税收因子)模型.文章证明:资产的超额收益不但取决于与总消费的相关性,还受与政府税收相关性的影响;资本市场的波动行为依赖于税收的随机模式.我们的模型预言,在一个政府作用比较大的经济体里,如果忽略政府的作用,单因子的ICAPM可能低估均衡的股权超额收益.同没有政府的经济相比,有政府经济中风险资产的波动率会更高.分析还表明:在动态资产定价模型中引入政府行为是可能的.     

Now is the time to embrace interactive electronic applications of Association Pattern Technique

Over time, researchers have explored and used diverse methodologies and innovative techniques to gain a better understanding of consumer behaviour. The laddering technique, in particular, has drawn considerable interest in recent years. Scholars across various fields have produced valuable findings using the Association Pattern Technique (APT) as a hard laddering technique. Compared to soft laddering, however, its potential to uncover consumers’ behavioural processes has not yet been optimised, probably due to several misconceptions. Following a systematic review of APT studies, prevailing issues are highlighted and an interactive electronic APT is proposed as a useful guideline for expanding future consumer behaviour research with actionable implications across different disciplines, including retailing.     

ADDING PSYCHOLOGICAL VALUE TO HERITAGE TOURISM EXPERIENCES REVISITED

In 2001 the authors explored the underlying motives and needs of visitors to a heritage site, employing a method known as the Hierarchical Value Map (HVM) technique. Drawing from a small sample of visitors to a preserved 18th century plantation via qualitative interviews, the analysis revealed that most respondents were looking for a satisfying leisure experience where pleasure and learning are complementary. Recently, as part of a PhD by Jewell, this site was revisited with the methodologies of the HVM technique and Associated Pattern Technique (APT) combined in order to conduct quantitative research on a larger sample size. Results validated the 2001 research but with some differences detected. When comparing the current study to the 2001 study, differences were found regarding the connections between attributes, consequences/benefits, and values. The main difference that occurred between the 2001 study and current study was that the end core value of “Stop Repeating Mistakes of the Past,” was not considered by either visitors to Drayton Hall or Control Group respondents as being an important end core value. The end core value for both groups was, overall, that heritage made for a satisfying experience which in itself was pleasurable.     

Alternative Models for Estimating the Cost of Equity Capital for Property/Casualty Insurers

This paper estimates the cost of equity capital for Property/Casualty insurers by applying three alternative asset pricing models: the Capital Asset Pricing Model (CAPM), the Arbitrage Pricing Theory (APT), and a unified CAPM/APT model (Wei (1988). The in-sample forecast ability of the models is evaluated by applying the mean squared error method, the Theil U2 (1966) statistic, and the Granger and Newbold (1978) conditional efficiency evaluation. Based on forecast evaluation procedures, the APT and Wei's unified CAPM/APT models perform better than the CAPM in estimating the cost of equity capital for the PC insurers and a combined forecast may outperform the individual forecasts.     

对套利定价理论及应用的认识

本文从套利的一般概念入手，分析了套利的基本特点，叙述了套利定价理论(APT)的基本假设，APT的主要推导思路及主要结论，指出了应用APT进行套利交易的一般过程，并对套利定价理论和资本资产定价模型(CAPM)进行了比较，最后提出对几个相关问题的思考。     

我国猪肉市场非对称价格传导机制研究

毛猪产业在我国经济生活中扮演着举足轻重的角色,为了捕捉生猪价格与猪肉价格之间的传导过程关系,本文使用非线性门槛回归(Threshold auto-regressive TAR)和动量门槛回归(Monmentum-Threshold auto-regressive,M-TAR)模型,检验2006年7月1日-2011年9月30日我国猪肉市场的传导过程是否存在一种非对称关系,并通过建立不对称调整项的误差修正模型,探讨我国生猪与猪肉零售价格之间的因果以及短期动态关系。实证结果发现我国生猪与猪肉零售市场之间存在负的非对称性的价格传导关系,这可能与我国猪肉市场受到高度政策干预和市场结构有关。     

Politics of Trade in the USA and in the Obama Administration: Implications for Asian Regionalism

Over the next four years, the Obama administration will face a series of strategic choices in forging policies to respond to a growing momentum for advances in Asian regional structures. Though faced with domestic political challenges; not least from within his own Democratic party – President Obama and his advisers will need to set a course for the reassertion of US leadership in constructing a trans-Pacific vision, through new US-based free trade agreements, signing on to existing agreements such as the P-4 (Singapore, New Zealand, Brunei, the Philippines), or consolidating existing free trade agreements among Asia Pacific Economic Cooperation (APEC) nations. In pursuing this vision, the US should take advantage of the fact that the next three APEC leaders meetings are in Singapore (2009), Japan (2010), and the USA (2011); a sequence ripe for synergistic teamwork.     

套利定价模型(APT)对深圳股市的实证检验

引入虚拟变量对金融数学中的套利定价模型(APT)进行了改进,然后利用改进前与改进后的模型分别对我国深圳股市作了实证检验。结果表明:引入虚拟变量的模型比引入之前的模型更加贴近实际;同时也表明深圳股市基本上符合套利定价模型。