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The Arbitrage Pricing Theory: Some Empirical Results

The Journal of Finance, 1981
THE ACCUMULATION of empirical evidence inconsistent with the simple oneperiod capital asset pricing models of Sharpe (1964), Lintner (1965), and Black (1972) indicates that alternative models of capital market equilibrium deserve investigation. A minimum requirement for any alternative model should be that it explains the empirical anomalies which ...
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Some Empirical Tests of the Theory of Arbitrage Pricing

The Journal of Finance, 1983
ABSTRACTWe estimate the parameters of Ross's Arbitrage Pricing Theory (APT). Using daily return data during the 1963–78 period, we compare the evidence on the APT and the Capital Asset Pricing Model (CAPM) as implemented by market indices and find that the APT performs well.
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Die Arbitrage Pricing Theory

1995
Die Arbitrage Pricing Theory (APT) wurde von Ross (1976, 1977) als testbare Alternative zum Capital Asset Pricing Model (CAPM) entwickelt und war wiederholt Gegenstand zahlreicher theoretischer4 und empirischer5 Arbeiten. Alle Modellvarianten der APT basieren auf einer Grundannahme: die Renditen riskanter Wertpapiere werden durch einen stochastischen ...
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International Arbitrage Pricing Theory

The Journal of Finance, 1983
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The Arbitrage Pricing Theory Model

2023
James W. Kolari, Seppo Pynnönen
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Arbitrage pricing theory