Arbitrage pricing theory revisited: structural equation models with stochastic constraints.

Choy Man Wah Minnie.Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.Includes bibliographical references (leaves 83).Abstracts in English and Chinese.Abstract --- p.iAcknowledgement --- p.iiiChapter 1 --- Introduction --- p.1Chapter 2 --- The Analysis of APT using SEM --- p.3Chapter 2.1 --- The APT model --- p.3Chapter 2.2 --- The structural equation model approach --- p.5Chapter 3 --- Incorporating stochastic constraints into the SEM analysis of APT --- p.8Chapter 3.1 --- Introduction --- p.8Chapter 3.2 --- Bayesian analysis of stochastic constraints --- p.9Chapter 3.3 --- Three types of structures for T I --- p.10Chapter 3.3.1 --- Case 1: T = (σ2Imxm --- p.10Chapter 3.3.2 --- "Case 2: r is a diagonal matrix with diagonal elements σ2j for = 1， …,m" --- p.13Chapter 3.3.3 --- Case 3: Γ is a general positive definite matrix --- p.14Chapter 3.4 --- Estimation of parameters using the Mx program --- p.16Chapter 4 --- Empirical study on Hong Kong stock market --- p.17Chapter 4.1 --- Information of data --- p.17Chapter 4.2 --- Source of data --- p.17Chapter 4.3 --- Lisrel model with exact constraints --- p.19Chapter 4.3.1 --- The resultant model --- p.20Chapter 4.4 --- Lisrel model with stochastic constraints --- p.21Chapter 4.4.1 --- Result --- p.22Chapter 5 --- Simulation study --- p.35Chapter 5.1 --- Simulation design --- p.35Chapter 5.2 --- Simulation procedure --- p.40Chapter 5.3 --- Simulation result --- p.41Chapter 5.3.1 --- Sample size --- p.41Chapter 5.3.2 --- Analysis methods (constraints) --- p.42Chapter 5.3.3 --- Factor loadings --- p.43Chapter 5.3.4 --- Factor correlation matrix --- p.43Chapter 5.3.5 --- Risk premia --- p.43Chapter 5.3.6 --- Overall result --- p.44Chapter 6 --- Conclusion and discussion --- p.45Appendices --- p.46Chapter A --- Simulation result - Mean --- p.47Chapter B --- Simulation result - Bias --- p.56Chapter C --- Simulation result - RMSE --- p.65Chapter D --- Mx input script --- p.74Chapter D.l --- Stochastic constraints Case 1 --- p.74Chapter D.2 --- Stochastic constraints Case 2 --- p.77Chapter D.3 --- Stochastic constraints Case 3 --- p.80Bibliography --- p.8