套利定价理论在我国证券市场的实证研究-基于渐近主成分分析方法

20081139JOURNALOFHENANINSTITUTEOFFINANCIALMANAGEMENTNo.12008SerialNO.139:2007-12-29:(1974-),,,,,;(1969-),,,,1,2(1.,300071;2.,300191):APT,APTAPT,35APTAPTAPT,CAPM:APT;;;:F832.5:A:1008-7796(2008)01-0090-06Markowitz,,,-,(CAPM)CAPM,CAPMCAPM,,CAPM,(APT),n,il():ri=ai+lj=1aijfj+ii=1,2,n(1),fjj,APT0,E(fj)=0,,E(f,fj)=0,i=1,2l,ij,,0;aij(i=1,2n,j=1,2l)ij,ji,i,,D(i)=2i2,i=1,2n,D(i)=2ii,,,,E(ik)=0,ik,,,,,E(ifk)=0,i=1,2n,k=1,2l,(1)(APT):E(ri)=a+lj=1aijE(fj)i=1,2,(2)APT,,,,APTCAPMAPT,APT,,,,,,,,09,,,,,,,m,,mj=1Cjm=2m-1,m=10,1023,,m10,,,,,,,;APT,,ConnorKorajczyk(1986,1988)(asymptoticprincipalcompo2nents,APC)(1),,APCAPC,APT:rt=Ert+Bft+t,t=1,2T(3)(3)rtn,nt,ftl,lt,tt,E(t|ft)=0,E(tt)=V,MTT=1nRnRn,Rn=rn-enrF,nT,rij(i=1,2n,j=1,2T)ij,en=(1,1,1)n,rF=(rf,rf,rf)T,rf,MTT1,2n,1ð2ðn,F1,F2Fn,lG=(F1,F2Fl),,,Rn,G,(),,,Rn3=V-12Rn,M3TT=1nRn3Rn3,F31,F32F3n,lG3=(F31,F32F3l),Rn3,G3,(),,,,G3G,,Rn=rn-enrF,rn=Rn+enrF,rn,G,,V,(APC),:,,,,,,,,,,,,,APCAPT19,3520058152007813(463,)358,7,4,9,7,,Pi,tit,ri,j=1n(Pi,j+1/Pi,j)it,t,rM,t=1n(PM,t+1PM,t)t,,,200543(3.37%),,35,2005815100,,,100,EWAPC,,,,,9981484.221,1020000,11200005,596.8%,596.8%,5APT;APT,10,10,98.4%;,,92.1%,,35EW(),,1(,13EW)APT(APT,APT,,APT,),EWaai10,1APT,:(1)1,EWai10,,35EW(2),;,,1,0.7992,0.3897;1,0.87410.69140.4893,;,,1(0.8452)(0.8092),,,,(3)APT,Fp0,5%,,(4),,;,,APT,R20.5391,53.91%(),R20.2309,23.09%();45.54%39.88%33.43%,;,29,,,(5),EWR20.9967,EW99.67%(),,APT(6)EW,13.53%58.5%1APTCAPMAPTCAPMaiai1R2FmR2FEW0.4240.70210.996701.06120.798300.36360.80920.493501.11040.335500.63420.84520.47901.25130.372800.51740.60830.2522010.244100.32990.79920.539101.11670.380400.33880.38970.230900.70440.270500.27170.77440.529300.99080.31400.66850.43430.135300.84640.181600.19580.77090.58501.03260.381300.47480.43350.244700.96640.43100.70240.70330.314801.27690.366800.40470.48930.334300.96740.46600.46110.69140.398801.06390.331100.29820.87410.455401.10320.26310:CAPM,p0.1,10%,,0,2TestOnefactorvs.fivefactorsH0:ai2=ai3=ai4ai5=0fivefactorvs.tenfactorsH0:ai6=ai7=ai8=ai9=ai10=0aF4.458bp-valueaF5.452bp-valueEW273.000(0.001)77.3330.000029.254(0.001)24.3730.000038.241(0.001)42.3870.000095.358(0.001)20.6630.000018.082(0.001)0.9560.44439.132(0.001)29.7440.000020.743(0.001)13.1860.000054.636(0.001)437.1460.000022.450(0.001)15.9900.000079.054(0.001)33.1710.000040.287(0.001)181.4660.000088.624(0.001)9.5850.000053.259(0.001)21.5080.000035.509(0.001)19.2210.0000:aWaldF,bp-value,1,APTEW,13%60%,APT,WaldAPT(APTAPT),22,10%,,,APTAPT,35EW(),,3(,13EW)APT,EWaai10,13,:(1)(EW)0,,,,,(2),EW,(3),,(,,9.76,,,,),1,-3.4657-1.4212-0.4064,(4)13,(4),,,,0.144,4,APT49.35%63.77%,14.4,39,0.1783,0.4223,,3APTaiai1ai2ai3ai4ai5R2FEW0.4240.70210.14560.1571-0.2279-0.02820.999300.36360.80920.6816-1.62931.4618-4.990.637700.63420.84522.5604-1.94450.9528-3.43220.657300.51740.60833.847-0.58352.79066.97780.674500.32990.7992-1.6443-0.6558-1.4493-2.30230.630100.33880.38970a1.25230a-2.50.315900.27170.7744-2.0862-0.91730a1.51860.632900.66850.43431.9257-1.3331-6.81871.56710.50400.19580.7709-1.6612-1.1347-0.95671.51570.682100.47480.43353.14392.1925-0.7198-1.19360.636100.70240.70333.04581.0755-3.24183.97260.557400.40470.4893-0.40643.94410a0a0.698200.46110.6914-1.42123.85241.3129-0.0350.651400.29820.8741-3.46570a0a2.98.80.63280:aAPT,ap0.1,10%,,0,40.14420.17830.42230.0910.0850.10360.36870.09710.39140.24260.36390.25260.1774,CAPMAPTAPT(1)CAPM,35EW,,0.180.47,,(2)1,CAPMAPT,,CAPM,27.05%46.6%36.68%43.1%,APT,23.09%33.43%31.48%24.47%;APT,49.35%,CAPM33.55%,,,,,,,,(3)13,APTCAPM5,,,(35),,,,,,EW(1)APT,5(2)PEWt+1=PEWt(1+rEWt),t=0,1T,PEWtEWt,PEW0=100,rEWtEWt,35(3)^PEWt+1=^PEWt(1+^rt),t=0,1,,^PEWtEWt,^PEW0=PEW0=100,^rEWtEWt,5APTf1f2f3f4f5f6f7f8f9f10R20.4240.7020.1460.157-0.228-0.028-0.0850.008b-0.1350.170-0.0660.9997p0.0000.0000.0000.0000.0000.0050.0000.4810.0000.00000.4240.7020.1460.157-0.228-0.028-0.085--0.1350.170-0.0660.9997p0.0000.0000.0000.0000.0000.0050.000-0.0000.0000:bAPT,bp0.1,10%,,0,,549,,,3EW(1)1,EW,APTAPT,;CAPM,0142325,,,,1523,CAPM,19,60,37.5;2630,CAPM,28,50,12.5,,APTCAPM1:ewpEW,f1fitpAPT,f5fitpAPT,f10fitpAPT,f10-7fitpAPT(),:(1),APTAPTCAPM,APTCAPM(2)APT,(3)APT,(4)APT,,(5),APT:[1]GregoryConnor,RoberA.Korajczyk.RiskandreturninanequilibriumAPT:applicationofanewtestmethodology[J].JournalofFinancialEconomics,1988,(21):255-290.[2].()[M].:,2006.[3]FamaE,FrenchK.Dividendyieldsandexpectedstockreturns[J].JournalofFinancialEconomics,1988,(22):255-290.[4]RollR,RossS.Economicforcesandthestockmarket[J].JournalofBusiness,1986,(59):383-403.[5]LehmannB,Modestd.Theempiricalfoundationsofthearbitragepricingtheory[J].Journaloffinancialeconomics,1988,(21):213-254.[6]FamaE,FrenchK.Multifactorexplanationsofassetpricinganomalies[J].JournalofFinance,1996,(51):55-84.[7]Shanken,Jay.Multivariatetestsofthezero-betaCAPM[J].JournalofFinancialEconomics,1985,(14):327-348.[8]Shanken,Jay.Multi-betaCAPMorequilibriumAPT:Areply[J].JournalofFinance,1985,(40):1189-1196.[9],.[J].,2007,(1):87-92.[10],.[M].:,2005.[11].[J].,2003,(5):144-148.(:)AnEmpiricalStudyonArbitragePricingTheoryinChinasSecuritiesMarketBasingonNearK