The interface of the structural equation model and the arbitrage pricing theory.

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.iDeclaration --- p.iiiAcknowledgment --- p.ivChapter 1 --- Introduction --- p.1Chapter 2 --- The Arbitrage Pricing Theory --- p.3Chapter 2.1 --- Model and Assumptions --- p.3Chapter 2.2 --- Derivation of the APT --- p.5Chapter 2.2.1 --- Factor Risk Premia --- p.7Chapter 3 --- The Classical Approach --- p.8Chapter 3.1 --- Factor Analysis --- p.8Chapter 3.2 --- The Cross-sectional Regression --- p.11Chapter 3.3 --- Critiques Concerning the 、APT --- p.12Chapter 4 --- The Structural Equation Model Approach --- p.15Chapter 4.1 --- Combining the Factor Model and the Pricing Equation --- p.15Chapter 4.2 --- Framework of the SEM with Mean Structure --- p.16Chapter 4.3 --- Applying the SEM Approach to the APT --- p.19Chapter 4.4 --- Merit of the SEM Approach --- p.20Chapter 5 --- Simulation Study --- p.22Chapter 5.1 --- Simulation Design --- p.22Chapter 5.2 --- Insight from the Simulation Study --- p.26Chapter 5.2.1 --- Factor loading. B --- p.26Chapter 5.2.2 --- Factor covariance matrix. Φ --- p.26Chapter 5.2.3 --- "Risk-free rate, rf" --- p.27Chapter 5.2.4 --- "Risk premium, λ" --- p.28Chapter 5.2.5 --- "Sample size, T" --- p.29Chapter 5.2.6 --- Other findings --- p.29Chapter 6 --- Empirical Study --- p.30Chapter 6.1 --- Specification of the Data --- p.30Chapter 6.2 --- Procedures for the SEM Approach --- p.31Chapter 6.3 --- Procedures for the Classical Approach --- p.35Chapter 6.4 --- Model Interpretation --- p.36Chapter 6.5 --- Difficulties Encountered --- p.37Chapter 7 --- Conclusion and Discussion --- p.39Chapter A --- Result of the Simulation Study --- p.40Chapter B --- Result of the Empirical Study --- p.105Chapter C --- LISREL Program for the Empirical Study (by the SEM Ap- proach) --- p.111Bibliography --- p.11