| 基于因子分析的套利定价模型及实证研究 |
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| 引用本文： | 孙君敏,王频.基于因子分析的套利定价模型及实证研究[J].财贸研究,2007(1):87-92. |
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| 作者姓名： | 孙君敏 王频 |
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| 作者单位： | 1. 江南大学,商学院,江苏,无锡,214122
2. 武汉大学,经济与管理学院,湖北,武汉,430072 |
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| 基金项目： | 国家自然科学基金(编号70440003)，教育部人文社会科学重点研究基地重大项目(编号05JJD790020)资助 |
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| 摘 要： | 众所周知,建立套利定价模型的关键在于因素的筛选,计算量很大。而因子分析能将为数众多的原始指标变量经过分析综合为少数几个公共因子变量,从而大大减少计算的复杂度。本文利用因子分析的方法对11个因素进行筛选,确定四个能够很好地反映所有因素包含的信息但又互不相关的公共因子变量,并建立套利定价模型,实证检验说明,通过该方法进行因素筛选建立的套利定价模型具有较好的定价效果。
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| 关 键 词： | 因子分析 套利定价理论 股市 模型 |
| 收稿时间： | 2006-09-26 |
| 修稿时间： | 2006-09-26 |
An Empirical Study on Arbitrage Pricing Model Based on Factor Analysis |
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| SUN Jun-min,WANG Pin.An Empirical Study on Arbitrage Pricing Model Based on Factor Analysis[J].Finance and Trade Research,2007(1):87-92. |
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| Authors: | SUN Jun-min WANG Pin |
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| Institution: | 1. Business School, South Yangtze University, Wuxi 214122 ; 2. School of Economics and Management, Wuhan University, Wuhan 430072 |
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| Abstract: | The most important problem in Arbitrage Pricing Theory (APT) is how to screen out the factors which need too much computation. Factor analysis is a method to abstract fewer factors from a large number of original variables and reduce computation. Through factor analysis, this article ascertains four factors from eleven original variables which are unrelated with each other and include most of the information. With the four factors, this article also builds an APT which is considered making a good effect in pricing by the empirical analysis. |
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| Keywords: | factor analysis arbitrage pricing theory share market model |
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