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Liquidity risk and arbitrage pricing theory [PDF]

open access: greenFinance and Stochastics, 2004
Classical theories of financial markets assume an infinitely liquid market and that all traders act as price takers. This theory is a good approximation for highly liquid stocks, although even there it does not apply well for large traders or for modelling transaction costs.
Umut �etin   +2 more
openalex   +2 more sources

Scope of the arbitrage pricing theory [PDF]

open access: yesAnali 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
doaj   +3 more sources

Virtual Arbitrage Pricing Theory [PDF]

open access: green, 1999
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities.
Kirill Ilinski
openalex   +5 more sources

Arbitrage Pricing Theory for Idiosyncratic Variance Factors [PDF]

open access: hybridJournal of Financial Econometrics, 2022
Abstract 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. We confirm the presence of a common idiosyncratic variance factor, but do not find evidence that this represents a ...
Éric Renault   +2 more
openalex   +4 more sources

Arbitrage Pricing Theory Model Application on Tobacco and Cigarette Industry in Indonesia [PDF]

open access: goldIntegrated Journal of Business and Economics, 2019
The purpose of this study was to applicant the Arbitrage Pricing Theory model in the tobacco and cigarette industry listed on the IDX. The APT model in this study uses macroeconomic variables consisting of exports, inflation, exchange rates, GDP and ...
Sakina Ichsani   +2 more
doaj   +2 more sources

Comparative Study between Capital Asset Pricing Model and Arbitrage Pricing Theory in Indonesian Capital Market during Period 2008-2012

open access: goldAPMBA (Asia Pacific Management and Business Application), 2015
For decades, there were many models explaining the returns earned emerged in order to fulfil the curiosity had by human. Since then, various studies and empirical findings in many countries’ stock market showedthat the empirical findings of market return
Leo Julianto
doaj   +3 more sources

Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange

open access: hybridSouth African Journal of Business Management, 1986
In 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather than ...
M. J. Page
doaj   +3 more sources

ARBITRAGE PRICING THEORY IN ERGODIC MARKETS [PDF]

open access: bronzeSSRN Electronic Journal, 2018
Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, but empirical applications of APT are, nowadays, based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me to apply the theory of Hilbert spaces in a natural way.
Gabriel Frahm
openalex   +4 more sources

Optimal Stock Portfolio Analysis using Mean-Value at Risk (Mean-VaR) under Arbitrage Pricing Theory (APT) [PDF]

open access: diamondInternational Journal of Business, Economics, and Social Development
Investing in Sharia-compliant stocks is one of the rapidly growing investment options, making it a potential choice for investors' portfolios. Therefore, investors need to understand how to select an optimal composition of stocks in their portfolio. This
Puspa Dwi Ayu Banowati   +2 more
doaj   +2 more sources

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