Empirical Studies on Arbitrage Pricing Theory
碩士 === 國立暨南國際大學 === 經濟學系 === 91 === Recent empirical tests of the arbitrage pricing theory (APT) using prespecified observed variables rely on the construction of unexpected components of the variables. However, traditional statistical techniques employed in this area may lead to false inferences re...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/2swc53 |
| Summary: | 碩士 === 國立暨南國際大學 === 經濟學系 === 91 === Recent empirical tests of the arbitrage pricing theory (APT) using prespecified observed variables rely on the construction of unexpected components of the variables. However, traditional statistical techniques employed in this area may lead to false inferences regarding the statistical significance estimated risk premium. The study tries to use semiautoregression approach to estimate factors of the APT that has the best advantage of providing a simple asymptotic variance-covariance matrix for the factor estimates, which makes it easy to adjust for measurement errors. The other is that the approach does not require the restrictive assumptions made in the maximum likelihood estimation. At latest is that put little restriction on the time and cross-sectional variation of firm-specific shocks. Therefore, using data of thirty-one companies selectMarket during 1988 to 2002 in Taiwan. As a result, fixed semiautoregressio model can explain the variation of the asset returns well in Taiwan.
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