APT model based on factor analysis and an empirical study in China´s Growth Enterprise Market

Author

Wei, Zhang

Author_Institution

Glorious Sun Sch. of Bus. & Manage., Donghua Univ., Shanghai, China

fYear

2011

fDate

8-10 Aug. 2011

Firstpage

994

Lastpage

997

Abstract

APT model not only subverted the traditional theory of equilibrium pricing, but brought arbitrage pricing model into people´s sight. But the key of APT is selection of factors. This paper used factor analysis attributed 10 factors to 4 common ones. Furthermore, it calculated the common factor expression and the linear regression model by data of 22 stocks from different fields in China´s stock market, using SPSS software. Finally, this paper tested the regression model in China´s Growth Enterprise Market through a portfolio of 79 stocks. Result showed that the model can be used to price stocks with better efficient.

Keywords

pricing; regression analysis; stock markets; APT model; China growth enterprise market; SPSS software; equilibrium pricing; factor analysis; linear regression model; price stock; pricing model; stock market; Analytical models; Correlation; Economic indicators; Investments; Pricing; Security; APT Model; Empirical Study; Factor Analysis; Growth Enterprise Market;

fLanguage

English

Publisher

ieee

Conference_Titel

Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on

Conference_Location

Deng Leng

Print_ISBN

978-1-4577-0535-9

Type

conf

DOI

10.1109/AIMSEC.2011.6010620

Filename

6010620