Title :
Applicability of Arbitrage Pricing Theory on Chinese Security Market
Author :
Yang, Yuxiang ; Tan, Zhongzhen ; Zou, Jianguo
Author_Institution :
Dept. of Econ. & Law, Hengyang Normal Univ., Hengyang, China
Abstract :
This paper checks that the arbitrage theory of capital asset pricing is as applicable in Chinese security market as in those of developed countries such as U.S... A regression model is used to make an empirically test by selecting company size, the ratio between market value and book value and the price earning ratio as three influence factors of stock returns, and using panel data on arbitrage pricing models. The results suggest that the three influence factors have no significant influence on stock returns. The effort made to select investment by searching for such information of a company will result in nothing. Price variation on Chinese stock market is random walk and unpredictable. That is to say the arbitrage pricing theory is not applicable on Chinese security market.
Keywords :
investment; pricing; regression analysis; stock markets; Chinese security market; Chinese stock market; arbitrage pricing theory; book value; capital asset pricing; market value; panel data; price earning ratio; regression model; stock returns; Books; Companies; Investments; Portfolios; Pricing; Security; Stock markets; arbitrage pricing theory; price earning ratio; stock yield;
Conference_Titel :
Business Intelligence and Financial Engineering (BIFE), 2010 Third International Conference on
Conference_Location :
Hong Kong
Print_ISBN :
978-1-4244-7575-9
DOI :
10.1109/BIFE.2010.50