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A Test of the Arbitrage Pricing Theory in the Bombay Stock Market
, 2015This study examines the application of the arbitrage pricing theory (APT) in the Bombay stock market and attempts to identify the macroeconomic variables which influence the sensex.
Ashutosh Verma, C. Kumar
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An extensile method on the arbitrage pricing theory based on downside risk (D-APT)
, 2014Purpose - – The purpose of this paper is to propose a new and improved version of arbitrage pricing theory (APT), namely, downside APT (D-APT) using the concepts of factors’ downside beta and semi-variance.
Mohammad Reza Tavakoli Baghdadabad +1 more
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, 1992
"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive
D. Duffie
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"Dynamic Asset Pricing Theory" is a textbook for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive
D. Duffie
semanticscholar +1 more source
An Empirical Test of the Arbitrage Pricing Theory—The Case of Indian Stock Market
, 2012With increasing doubt about the validity of the one-factor Capital Asset Pricing Model in pricing financial assets, development of newer models or extensions has become the order of the day.
Debarati Basu, Deepak Chawla
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Perspective on Arbitrage Pricing Theory
, 2011The development of financial equilibrium asset pricing models has taken major importance in the present financial theory research world. These models are extensively tested for developed markets.
Chenoy Ceil
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The Arbitrage Pricing Theory Approach to Strategic Portfolio Planning
, 1984The well-known capital asset pricing model asserts that only a single number—an asset's "beta" against the market index—is required to measure risk.
Richard Roll, S. Ross
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On the Robustness of the Roll and Ross Arbitrage Pricing Theory
Journal of Financial and Quantitative Analysis, 1984Roll and Ross [6] have written what has quickly become the classic article on testing the Arbitrage Pricing Theory (APT) originally proposed by Ross [8].
D. Cho, E. Elton, M. Gruber
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The Arbitrage Pricing Theory: Some Empirical Results
, 1981THE 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
Marc R. Reinganum
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The Arbitrage Pricing Theory: Is It Testable?
, 1982This paper challenges the view that the Arbitrage Pricing Theory (APT) is inherently more susceptible to empirical verification than the Capital Asset Pricing Model (CAPM).
Jay Shanken
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