Results 71 to 80 of about 891 (167)

Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process [PDF]

مجله دانش حسابداری, 2014
Unanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance.
doaj   +1 more source

Discrete-time market models from the small investor point of view and the first fundamental-type theorem

Annales Universitatis Paedagogicae Cracoviensis: Studia Mathematica, 2017
In this paper, we discuss the no-arbitrage condition in a discrete financial market model which does not hold the same interest rate assumptions. Our research was based on, essentially, one of the most important results in mathematical finance, called ...
Marek Karaś, Anna Serwatka
doaj   +1 more source

How to Test the Arbitrage Pricing Theory (APT) [PDF]

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2007
As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one.
Ghassem Mohsseni Demneh
doaj  

Limit to Arbitrage and Distress Risk Puzzle in Vietnam: Does Corporate Bankruptcy Regulation Matter?

SAGE Open
This study is the first to examine how limit-to-arbitrage factors impact the distress risk puzzle in Vietnam before and after implementing bankruptcy regulations.
Khoa Dang Duong, Ngoc Thi Thanh Nguyen, Nga Thu Thi Do, Hoa Thanh Phan Le   +3 more
doaj   +1 more source

CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia

Malaysian Management Journal, 1999
This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon, Ahmadu Umaru Sanda, G.S. Gupta   +2 more
doaj  

Cross-sectional Predictability of Indian Stock Returns: A Factor Analytical Approach

Copernican Journal of Finance & Accounting
This article's core objective is to analyze how firm characteristics collectively effect the risk-adjusted returns of Indian stocks. It aims to understand the simultaneous explanatory power of multiple variables that have shown to predict the cross ...
Sanjay Shanbhag, Kamran Quddus
doaj  

Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]

PLoS One, 2023
Wu Q, Kuang X, Wu B, Xu X.
europepmc   +1 more source

Estudio de un portafolio en la frontera de media-desviación estándar no observable

Análisis Económico, 2005
En este artículo se demuestra que si un portafolio p está en la frontera generada por N instrumentos financieros, entonces el portafolio p está en la frontera generada por cualquier subconjunto de M (M < N) de los N instrumentos financieros y el mismo ...
Eneas A. Caldiño García
doaj  

Regional asymmetry in financial markets: Pricing of skewness risk in the Thai stock market. [PDF]

PLoS One
Huynh TT, Khoa BT.
europepmc   +1 more source