Applied Research on Factor Analysis in Arbitrage Pricing Theory

摘要：

The biggest challenge of Arbitrage Pricing Theory (APT) is how to screen out the factors that need too much computation. Factor analysis abstracts a few factors from a large number of original variables. Through the factor analysis, this article identifies four factors out of eleven original variables containing most information about those eleven variables. Using the four factors, this article builds a pricing model that makes a better effect in pricing through empirical analyses.

关键词： Arbitrage Pricing Theory (APT) Factor Analysis Portfolio Bartlett Ball Test KMO Test

作者: Jianmin Sun Pin Wang

作者单位: Economics and Management School, Wuhan University Wuhan, Hubei 430072, P.R.China

会议类型: 国际会议

会议名称: 2006 International Symposium on Distributed Computing and Applications to Business,Engineering and Science(2006年国际电子、工程及科学领域的分布式计算应用学术研讨会)

会议地点: 杭州

会议语种:英文

页码: 855-857

在线出版日期: 2006-10-12（万方平台首次上网日期，不代表论文的发表时间）