套利定价模型对上证A股的有效性分析  

Analysis of the Effectiveness of Arbitrage Pricing Model on Shanghai A-share

作　　者：李帅鹏 侯为波[1] LI Shuai-peng;HOU Wei-bo(School of Mathematical Sciences, Huaibei Normal University, Huaibei Anhui 235000, China)

机构地区：[1]淮北师范大学数学科学学院

出　　处：《佳木斯大学学报（自然科学版）》2019年第3期467-469,共3页Journal of Jiamusi University：Natural Science Edition

基　　金：安徽省高校自然科学基金项目(KJ2018A0384)资助

摘　　要：目前在国内资本资产定价模型(CAPM)得到普遍使用,而套利定价模型(APT)作为一个截然不同的新方法却没有得到大范围的使用。因此,以上证A股市场为研究样本,运用因素分析法,深入探究套利定价模型是否适用于上证A股,从而可以更好地解释国内股票投资市场的预测期望收益率。The domestic capital asset pricing model (CAPM) is widely used at present, while the arbitrage pricing model (APT), as a completely different new method, has not been widely used. Therefore, takes the Shanghai A-share market as the research sample and uses the factor analysis method to explore whether the arbitrage pricing model is applicable to the Shanghai A-share market, so as to better explain the expected return rate of domestic stock investment market.

关 键 词：套利定价模型 因素分析 上证A股 期望收益率 

分 类 号：F224.7[经济管理—国民经济]