%0 Journal Article
%T The Amendment and Empirical Test of Arbitrage Pricing Models
%A Shaojun Wang
%A Xiaoping Yang
%A Juan Cheng
%A Yafang Zhang
%J Journal of Applied Finance and Banking
%D 2011
%I Scienpress Ltd
%X The classical APT model is of the form rj   E(rj) = ¦Âj(I   EI ) +¦Åj , where rj   E(rj) is the earning deviation (called basic variance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the stock returns distributions, and poses a re-modified the arbitrage pricing model as follows rj= E(rj) + ¦Âj(I   EI ) +¦Èj(I   EI )^2 +¦Ëj(I   EI )^3 +¦Äj(I   EI )^4 +¦Åj Based on the regression analysis method, and the fitting degree, one can arrive at this re-modified model has a more reasonable explanation level for securities pricing.
%K Arbitrage Pricing Models
%K Skewness
%K Kurtosis
%K Empirical Analysis
%U http://www.scienpress.com/Upload/JAFB/Vol%201_1_8.pdf