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

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.