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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Risk-Neutral Pricing for Arbitrage Pricing Theory [PDF]
Journal of Optimization Theory and Applications, 2020 We consider infinite-dimensional optimization problems motivated by the financial model called Arbitrage Pricing Theory. Using probabilistic and functional analytic tools, we provide a dual characterization of the superreplication cost. Then, we show the
L. Carassus, M. Rásonyi
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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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Measuring the Pricing Error of the Arbitrage Pricing Theory [PDF]
Review of Financial Studies, 1995 This article provides an exact Bayesian frame work for analyzing the arbitrage pricing the ory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor modeL In particular, we propose a measure of the APT pricing deviations and obtain its exact posterior distribution.
John Geweke, Guofo Zhou
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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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Pointwise Arbitrage Pricing Theory in Discrete Time [PDF]
Mathematics of Operations Research, 2016 We develop a robust framework for pricing and hedging of derivative securities in discrete-time financial markets. We consider markets with both dynamically and statically traded assets and make minimal measurability assumptions.
Matteo Burzoni +4 more
semanticscholar +8 more sources
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: Evidence From An Emerging Stock Market [PDF]
Lahore Journal of EconomicsThe development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets.
Javed Iqbal, Aziz Haider
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