Arbitrage Pricing Theory
Реферат, 06 Ноября 2017, автор: пользователь скрыл имя
Описание работы
In this report, we discover APT as a model used to provide pricing strategy for stocks in the best possible way by taking into consideration multiple risks that are associated along with the stocks. From the research carried out, it has been found out that there are several macroeconomic and financial factors that influence stock returns. They are: global, political, cyclical, systemic, synergistic and industry factors, and also the investment characteristics of the issuer's position in the region. However, some of these variables can affect the stock return more than others.
Содержание работы
Executive Summary…………………………………………………………………………….…..………p3
Arbitrage Pricing Theory/Introduction…………………………………………………………….p4
Macroeconomic and Financial Factors affecting the stock price……………………………………………………………………………………………………………….p5-6
Constructing the basic regression model and the assessment of its quality……..…………………………………………………………………………………………………..p7-14
Appendix………………………………………………………………………………………………………p15-21
Group Meeting Minutes………………………………………………………………….……………p22-24
References……………………………………………………………………………………………………p25-26
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Stepwise Regression: Table 4
Dependent Variable: ERAGL |
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Method: Stepwise Regression |
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Date: 02/03/17 Time: 17:44 |
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Sample (adjusted): 1987M03 2012M12 |
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Included observations: 310 after adjustments |
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Number of always included regressors: 1 |
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Number of search regressors: 7 |
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Selection method: Stepwise forwards |
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Stopping criterion: p-value forwards/backwards = 0.2/0.2 | ||||
Variable |
Coefficient |
Std. Error |
t-Statistic |
Prob.* |
C |
-0.926355 |
0.715476 |
-1.294739 |
0.1964 |
ERSANDP |
1.302188 |
0.157402 |
8.273010 |
0.0000 |
RTERM |
5.401141 |
2.831587 |
1.907460 |
0.0574 |
DINFLATION |
3.257099 |
2.132055 |
1.527681 |
0.1276 |
R-squared |
0.191599 |
Mean dependent var |
-0.626839 | |
Adjusted R-squared |
0.183673 |
S.D. dependent var |
13.92396 | |
S.E. of regression |
12.58041 |
Akaike info criterion |
7.914978 | |
Sum squared resid |
48429.59 |
Schwarz criterion |
7.963191 | |
Log likelihood |
-1222.822 |
Hannan-Quinn criter. |
7.934251 | |
F-statistic |
24.17498 |
Durbin-Watson stat |
2.183996 | |
Prob(F-statistic) |
0.000000 |
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Selection Summary |
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Added ERSANDP |
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Added RTERM |
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Added DINFLATION |
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*Note: p-values and subsequent tests do not account for stepwise | ||||
selection. |
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Examination for heteroskedasticity using the White test: Table 5
Heteroskedasticity Test: White |
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F-statistic |
0.272928 |
Prob. F(7,302) |
0.9641 | |
Obs*R-squared |
1.948778 |
Prob. Chi-Square(7) |
0.9626 | |
Scaled explained SS |
12.05020 |
Prob. Chi-Square(7) |
0.0989 | |
Test Equation: |
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Dependent Variable: RESID^2 |
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Method: Least Squares |
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Date: 02/06/17 Time: 17:29 |
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Sample: 1987M03 2012M12 |
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Included observations: 310 |
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Variable |
Coefficient |
Std. Error |
t-Statistic |
Prob. |
C |
192.9651 |
43.81406 |
4.404183 |
0.0000 |
ERSANDP^2 |
-0.259216 |
0.720501 |
-0.359772 |
0.7193 |
DPROD^2 |
-12.49679 |
39.06426 |
-0.319903 |
0.7493 |
DCREDIT^2 |
-1.26E-08 |
4.97E-08 |
-0.253511 |
0.8000 |
DINFLATION^2 |
-67.65844 |
152.9501 |
-0.442356 |
0.6585 |
DMONEY^2 |
-0.014136 |
0.034199 |
-0.413345 |
0.6796 |
DSPREAD^2 |
46.67869 |
800.4559 |
0.058315 |
0.9535 |
RTERM^2 |
-242.1618 |
370.8336 |
-0.653020 |
0.5142 |
R-squared |
0.006286 |
Mean dependent var |
154.8460 | |
Adjusted R-squared |
-0.016747 |
S.D. dependent var |
559.8700 | |
S.E. of regression |
564.5386 |
Akaike info criterion |
15.53536 | |
Sum squared resid |
96248547 |
Schwarz criterion |
15.63179 | |
Log likelihood |
-2399.981 |
Hannan-Quinn criter. |
15.57391 | |
F-statistic |
0.272928 |
Durbin-Watson stat |
2.021661 | |
Prob(F-statistic) |
0.964125 |
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Tests before the crisis: Table 6
2003 -2006
Dependent Variable: ERAGL |
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Method: Least Squares |
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Date: 02/03/17 Time: 18:19 |
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Sample: 2003M01 2006M12 |
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Included observations: 48 |
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Variable |
Coefficient |
Std. Error |
t-Statistic |
Prob. |
C |
-0.588760 |
3.050014 |
-0.193035 |
0.8479 |
ERSANDP |
1.181057 |
0.735526 |
1.605731 |
0.1162 |
DPROD |
1.171447 |
3.899273 |
0.300427 |
0.7654 |
DCREDIT |
-0.000217 |
0.000336 |
-0.646337 |
0.5218 |
DINFLATION |
-1.650670 |
3.997740 |
-0.412901 |
0.6819 |
DMONEY |
-0.025413 |
0.114154 |
-0.222621 |
0.8250 |
DSPREAD |
50.67126 |
40.50672 |
1.250935 |
0.2182 |
RTERM |
-1.510410 |
7.200336 |
-0.209769 |
0.8349 |
R-squared |
0.143899 |
Mean dependent var |
-1.338386 | |
Adjusted R-squared |
-0.005918 |
S.D. dependent var |
11.13906 | |
S.E. of regression |
11.17197 |
Akaike info criterion |
7.815705 | |
Sum squared resid |
4992.517 |
Schwarz criterion |
8.127572 | |
Log likelihood |
-179.5769 |
Hannan-Quinn criter. |
7.933560 | |
F-statistic |
0.960498 |
Durbin-Watson stat |
2.163206 | |
Prob(F-statistic) |
0.472643 |
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Tests after the crisis: Table 7
2009 -2012
Dependent Variable: ERAGL |
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Method: Least Squares |
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Date: 02/03/17 Time: 18:21 |
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Sample: 2009M01 2012M12 |
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Included observations: 48 |
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Variable |
Coefficient |
Std. Error |
t-Statistic |
Prob. |
C |
-1.143859 |
1.002364 |
-1.141162 |
0.2606 |
ERSANDP |
1.039035 |
0.149106 |
6.968442 |
0.0000 |
DPROD |
-0.563021 |
1.374681 |
-0.409565 |
0.6843 |
DCREDIT |
1.05E-05 |
4.30E-05 |
0.243558 |
0.8088 |
DINFLATION |
2.252484 |
2.012570 |
1.119208 |
0.2697 |
DMONEY |
0.030484 |
0.026929 |
1.132018 |
0.2644 |
DSPREAD |
-6.580861 |
6.258220 |
-1.051555 |
0.2993 |
RTERM |
-1.418039 |
3.547284 |
-0.399753 |
0.6915 |
R-squared |
0.579774 |
Mean dependent var |
0.653542 | |
Adjusted R-squared |
0.506235 |
S.D. dependent var |
7.086603 | |
S.E. of regression |
4.979644 |
Akaike info criterion |
6.199606 | |
Sum squared resid |
991.8741 |
Schwarz criterion |
6.511472 | |
Log likelihood |
-140.7905 |
Hannan-Quinn criter. |
6.317461 | |
F-statistic |
7.883852 |
Durbin-Watson stat |
1.986259 | |
Prob(F-statistic) |
0.000005 |
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Group Meeting Minutes
Meeting One Minutes: 25/01/2017: 180 minutes
Point discussed:
Discussing the brief and what is required. Talking about individual strengths and who is more qualified to do each part.
Research of APT
Members present: All
Division of work load:
p13232959– research APT, initial format of report
P16211847 and p13232959– macro variables and editing respectively
P16211847 – e views
p14020881 – Limitations and benefits of each test
p14024789 – discussion
Meeting Two Minutes: 08/02/2017: 180 minutes
Point discussed:
Check progress of report. Part a and b completed.
Start research on E Views
Members present: All
Division of work load:
p13232959– link apt to macro factors and make comparisons to CAPM model
P16211847 – e views
p14020881 – Limitations and benefits of each test
p14024789 – discussion of results
Meeting Three Minutes: 15/02/2017: 60 minutes
Point discussed:
Check progress of report. Part a and b and c completed.
Look into results obtained and link to APT
Members present: All
Division of work load:
p13232959 – Executive summary
P16211847 – e views
p14020881 – Limitations and benefits of each test
p14024789 – discussion of results
Meeting Four Minutes: 22/02/2017: 120 minutes
Point discussed:
Report concluded, check through and edit.
Members present: All
Division of work load:
p13232959– edit and format report to be concise with brief and make appendix
P16211847 – e views, regression analysis alteration
p14020881– Limitations and benefits of each test
p14024789 – discussion of results and interpretation
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