The Role of Institutional Investors:A Empirical Study of Multi-Factor Pricing Model

@inproceedings{Shou2006TheRO,
  title={The Role of Institutional Investors:A Empirical Study of Multi-Factor Pricing Model},
  author={Chen Shou},
  year={2006}
}
An influential paper argued that expected excess return on assets should be related by a linear regression to the excess returns of a broad market portfolio and to other benchmark factor portfolios.This paper considers that multi-factor pricing model is given by the market equilibrium effects of an institutional investor whose attempts to outperform some benchmarks.The empirical test having employed the capital market data in China supports the model's predictions.