Wang, Shaojun; Yang, Xiaoping; Cheng, Juan; Zhang, Yafang; … - In: Journal of Applied Finance & Banking 1 (2011) 1, pp. 163-177
The classical APT model is of the form rj − E(rj) = Øj (I − EI ) +ε , where rj − E(rj) is the earning deviation (called basic ariance-profit) of the security j, I is a common factor. This paper considers the impact on the securities return caused by the skewness and kurtosis of the stock...