Empirical Studies on Arbitrage Pricing Theory(APT) Market factors

• Main Authors: Hsing-Hsiung Chang, 張信雄
• Other Authors: none
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/82159351655076060348

碩士 === 國立雲林科技大學 === 企業管理系碩士班 === 93 === ABSTRACT According as the Ross(1976) APT(Arbitrage Pricing Theory). This study chose five factors (GDP, inflation, exchange rate, interest rate and default risk) to observe the relevance between the default risk and the Taiwan Weighted Index. The first step is to compute the unexpected of the four economical factors and Taiwan Weighted Index by using auto-regression. Second step is to set the unexpected Taiwan Weighted Index for dependence, and four economical factors for independence to regress. It will affirm if the four factors were the APT factors from the result of linear regression. And to inspect the four economical factors are provided with ample interpretation capacity. Then add default risk score to the independence. Examine if it influence the unexpected Taiwan Weighted Index. Using data of three listed companies from every ten industries. Then compute the return of investment. And regress to the five factors and Taiwan Weighted Index. It can observe the five factors and Taiwan Weighted Index influence to every industry from the linear regression result. The examine result as follows. The interest rate and default risk have the positive effect to the Taiwan Weighted Index. The interest rate has negative effect to the default risk. The higher interest rate the lower default risk score. The default probability rose.