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匿名使用者 發問時間: 社會與文化語言 · 7 年前

[英文]中翻英 20點

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This paper is devoted to the accumulation of facts and the sifting of

evidence regarding the validity of the APT in its various formulations. By far the most interesting results concern the validity of the APT itself. The APT

fares well when confronted with the strong relationship between average

returns and either dividend yield or own variance. The APT provides an

adequate account of the relation between risk and return of the dividend-yield

and own-variance portfolios where risk adjustment with the usual CAPM

market proxies fails. It is noteworthy that the APT provides a risk-based

explanation of these phenomena in contrast to the usual tax-related explanation

of the dividend effect and the transitions-cost account of the relationship

between own variance and average returns. In contradistinction, the tests .

based on firm size provide sharp evidence against the APT, although the form

of size effect appears different from that documented in CAPM studies.

One interpretation of this failure to account for the size effect centers on

sample size, asynchronous trading, or any of the other potential problems

discussed earlier. We are persuaded, though, the large cross-sections that we

employ largely mitigate the effect of measurement error. Similarly, the thin

trading corrections yield no suggestion that the size-related results are attributable to this problem. Moreover, the sharpness of the rejections reported in

tables 1-3 suggests that they cannot be attributed to peculiar small-sample

properties of the test statistics such as those that might result, for example,

from non-normality. These considerations suggest the failure of the APT to

account for the size effect is credible.

1 個解答

評分
  • 旻安
    Lv 6
    7 年前
    最佳解答

    這份檔是專門討論事實的積累、 整理的關於在其各種配方 APT 的有效性的證據。到目前為止最有趣結果關切 APT 本身的有效性。APT好時與平均值之間的牢固關係面對的票價返回和股息收益率或自己的方差。APT 提供充分考慮到風險和回報的股息收益率之間的關係和自己的方差投資組合在風險調整與通常的資本資產定價模型市場代理伺服器失敗。值得注意的是 APT 提供了基於風險的是與一般的稅務相關解釋這些現象的解釋紅利效應與轉換成本科目的關係自己的方差與平均回報。在對比的區別,測試。基於公司大小提供針對 APT,鋒利證據儘管表單大小的效果會顯示不同的資本資產定價模型研究記錄。

    這個沒有考慮尺寸效應的一種解釋為中心樣本大小、 非同步交易、 或任何其他潛在問題前面討論過。我們相信,不過,大截面,我們雇用很大程度上減輕了測量誤差的影響。同樣,薄貿易更正產量沒有大小相關結果都歸因於這一問題的建議。此外,鋒利的拒絕報導表 1-3 表明他們不能歸咎于奇特小樣本比如那些可能導致,例如,測試統計資訊的屬性從非-常態。這些考慮建議到 APT 的失敗帳戶的大小效果是可信的。

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