LEADER 00000nam  2200325   4500 
001    AAI1498048 
005    20120516131854.5 
008    120516s2011    ||||||||||||||||| ||eng d 
020    9781124840253 
035    (UMI)AAI1498048 
040    UMI|cUMI 
100 1  Ki, YoungHa 
245 14 The CPAM and the High Frequency Trading; Will the CAPM 
       hold good under the impact of high-frequency trading? 
300    27 p 
500    Source: Masters Abstracts International, Volume: 50-01, 
       page: 0140 
500    Adviser: Shu Wu 
502    Thesis (M.A.)--University of Kansas, 2011 
520    The main purpose of this paper is to investigate the 
       possible relationship between the Capital Asset Pricing 
       Model--CAPM and the prevailing High Frequency Trading 
       (HFT) method of stocks trading and to explain the 
       relationship between them, if exist, with the references 
       from research papers and advanced statistical method. This
       paper mainly follows Jagannathan and Wang's paper (The 
       Conditional CAPM and the cross-section of expected return,
       1996) to explain the capability of CAPM, especially with 
       financial turmoil. However, instead of using the cross-
       sectional statistical method by following Jagannathan and 
       Wang, the mixed model will be implemented. This paper 
       draws the intermediate conclusion regarding the 
       relationship and shows the existence of relationship, if 
       exist, rather than introducing a new model 
590    School code: 0099 
650  4 Economics, Finance 
690    0508 
710 2  University of Kansas.|bEconomics 
773 0  |tMasters Abstracts International|g50-01 
856 40 |uhttp://pqdd.sinica.edu.tw/twdaoapp/servlet/