Results 11 to 20 of about 111,755 (296)
Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange
South 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
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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
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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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Intertemporal Arbitrage Pricing Theory [PDF]
Review of Financial Studies, 1992 It is shown that the arbitrage pricing theory holds in each infinitesimal period of a continuous trading model under the assumption that dividend payoffs are functionals of factor and idiosyncratic uncertainty. This generalizes the one-period model's result that the arbitrage pricing theory holds under the assumption that price changes in a given ...
John Geweke, Guofu Zhou
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Empirical Test of the Arbitrage Pricing Theory Based on the Downside Risk(D-APT) in the Tehran Stock Exchange [PDF]
پژوهشهای مدیریت عمومی, 2017 Extended Abstract Arbitrage pricing theory presented by Ross is based on theory of the absence of arbitrage opportunities in financial market and its main condition is the existence of a linear relationship between the actual return and a set of common ...
Moslem Moradzadeh +2 more
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Coherent-Price Systems and Uncertainty-Neutral Valuation
Risks, 2019 This paper considers fundamental questions of arbitrage pricing that arises when the uncertainty model incorporates ambiguity about risk. This additional ambiguity motivates a new principle of risk- and ambiguity-neutral valuation as an extension of the ...
Patrick Beissner
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Semi-parametric Model of Idiosyncratic Volatility Pricing by Explaining the Arbitrage Risk [PDF]
تحقیقات مالی, 2020 Objective: The relationship between idiosyncratic volatility and expected return in finance has become a puzzle. While, based on modern portfolio theory, the relationship between risk and expected return is positive, many studies find a negative ...
Mehdi Asima, Reza Eyvazloo
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Liquidity risk and arbitrage pricing theory [PDF]
Finance and Stochastics, 2004 The purpose of this paper is to develop a model for the inclusion of liquidity risk into arbitrage pricing theory that incorporates the impact of differing trade sizes on the price. The approach is consistent with price inelasticities. It is done by hypothesizing the existence of stochastic supply curve for a security price as a function of a trade ...
Çetin, Umut +2 more
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