Empirical Studies on Arbitrage Pricing Theory（APT）economic factors

• Main Authors: Shu-kai Shih, 施書凱
• Other Authors: Jean-Yu Shiue
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/89056723427716784875

碩士 === 國立雲林科技大學 === 企業管理系碩士班 === 92 === It is an important issue that investors how to appraise their risk。In financial， CAPM and APT can describe the relation between the price of expected assets and the index of market。Although APT describes the relation between the price of expected assets and the factors，but do not indicate what is the APT factor。Furthermore，if observe the price of stocks and economic index during studying，can find the increase rate of GDP is adverse to the reward rate of TAIEX，it contravenes common cognition。 The study tries to use APT to explain the relation between economical factors（rate、increasing rate of GDP、inflation、broken risk and exchange rate ） and the reward rate of TAIEX。Before to explain the relation ，must using APT to make sure the factors can include the most information from market，if can，the coefficients are meaning for what？Using data of thirty listed companies during 2000 to 2003 in Taiwan。 As a result： 1、The coefficient of inflation should be positive as the same as Rediscount Rate 。 2、The coefficient of rate should be negative as the same as increasing rate of GDP。 3、The coefficient of exchange rate should be positive which adverse to the rate。