Perbandingan Keakuratan Metode Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham (Studi pada Perusahaan Sektor Barang Konsumsi dan Sektor Pertambangan yang Terdaftar di Indeks Saham Syariah Indonesia (ISSI) Peri [PDF]
Journal of Economic Bussines and Accounting (COSTING), 2018 CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship.
Yetti Afrida Indra
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Scope of the arbitrage pricing theory [PDF]
Anali Ekonomskog fakulteta u Subotici, 2019 An important element of the positive portfolio theory which in addition to the Capital Asset Pricing Model (CAPM) provides an important contribution in terms of understanding the relationship between return and risk and pricing of assets in the capital ...
Leković Miljan
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A Robust Application of the Arbitrage Pricing Theory: Evidence from Nigeria
, 2017 Arbitrage pricing theory (APT) is a testable theory based on the idea that in competitive financial markets arbitrage will ensure that riskless assets provide the same expected return. We sought to confirm the relevance of the arbitrage pricing theory in
Oyetayo Oluwatosin J. +1 more
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An Empirical Examination of the Arbitrage Pricing Theory: Evidences from the U.S. Stock Market [PDF]
Journal of Modern Accounting and Auditing, 2019 This study investigates the effects of changes in local macroeconomic risk factors on returns on the banking, chemicals, insurance, telecommunication, and utilities industries in the U.S. market. Using a multifactor pricing model and data from 1998:01 to
Mahdy F. Elhusseiny +2 more
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Arbitrage Pricing Theory for Idiosyncratic Variance Factors
, 2017 We develop an Arbitrage Pricing Theory framework extension to study the pricing of squared returns/volatilities. We analyze the interplay between factors at the return level and those in idiosyncratic variances.
Éric Renault +2 more
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The Validity of the Arbitrage Pricing Theory in the Jordanian Stock Market
, 2012 This paper aims to test the validity and applicability of the Arbitrage Pricing Theory (APT) in Amman Stock Exchange (ASE) during the period 2001-2011.
Imad Zeyad Ramadan
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Arbitrage Pricing Theory and its relevance in modelling market
Management Dynamics, 2022 This research compares the Arbitrage Pricing Theory (APT) to the Capital Asset Pricing Theory (CAPT) by looking at numerous macroeconomic factors that affect market security prices and determining how APT explains the majority of the returns. The goal of
Anuradha Yadav, Pooja Srikanth Hegde
semanticscholar +1 more source
Social Science Research Network, 2021 The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors. Two aspects of the APT are considered.
M. Pesaran, Ron P. Smith
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Research on Amazon's stock price forecasting based on arbitrage pricing model based on big data
Ain Shams Engineering Journal, 2023 The generation of big data is based on the network data generated when people use Internet information systems to interact. Big data can reflect the general laws of specific fields and industries, provide more accurate references for decision makers and ...
Haocheng Du
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Pricing Timberland Assets in the United States by the Arbitrage Pricing Theory [PDF]
, 2014 Wenjing Yao, Bin Mei, Michael L. Clutter
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