Li Ming-Yin. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2004. / Includes bibliographical references (leaves 115-116). / Abstracts in English and Chinese. / Abstract --- p.i / Declaration --- p.iii / Acknowledgment --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- The Arbitrage Pricing Theory --- p.3 / Chapter 2.1 --- Model and Assumptions --- p.3 / Chapter 2.2 --- Derivation of the APT --- p.5 / Chapter 2.2.1 --- Factor Risk Premia --- p.7 / Chapter 3 --- The Classical Approach --- p.8 / Chapter 3.1 --- Factor Analysis --- p.8 / Chapter 3.2 --- The Cross-sectional Regression --- p.11 / Chapter 3.3 --- Critiques Concerning the 、APT --- p.12 / Chapter 4 --- The Structural Equation Model Approach --- p.15 / Chapter 4.1 --- Combining the Factor Model and the Pricing Equation --- p.15 / Chapter 4.2 --- Framework of the SEM with Mean Structure --- p.16 / Chapter 4.3 --- Applying the SEM Approach to the APT --- p.19 / Chapter 4.4 --- Merit of the SEM Approach --- p.20 / Chapter 5 --- Simulation Study --- p.22 / Chapter 5.1 --- Simulation Design --- p.22 / Chapter 5.2 --- Insight from the Simulation Study --- p.26 / Chapter 5.2.1 --- Factor loading. B --- p.26 / Chapter 5.2.2 --- Factor covariance matrix. Φ --- p.26 / Chapter 5.2.3 --- "Risk-free rate, rf" --- p.27 / Chapter 5.2.4 --- "Risk premium, λ" --- p.28 / Chapter 5.2.5 --- "Sample size, T" --- p.29 / Chapter 5.2.6 --- Other findings --- p.29 / Chapter 6 --- Empirical Study --- p.30 / Chapter 6.1 --- Specification of the Data --- p.30 / Chapter 6.2 --- Procedures for the SEM Approach --- p.31 / Chapter 6.3 --- Procedures for the Classical Approach --- p.35 / Chapter 6.4 --- Model Interpretation --- p.36 / Chapter 6.5 --- Difficulties Encountered --- p.37 / Chapter 7 --- Conclusion and Discussion --- p.39 / Chapter A --- Result of the Simulation Study --- p.40 / Chapter B --- Result of the Empirical Study --- p.105 / Chapter C --- LISREL Program for the Empirical Study (by the SEM Ap- proach) --- p.111 / Bibliography --- p.115
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324885 |
| Date | January 2004 |
| Contributors | Li, Ming-Yin., Chinese University of Hong Kong Graduate School. Division of Statistics. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, ix, 116 leaves ; 30 cm. |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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