Results 191 to 200 of about 757,258 (252)

Period-aggregated transformer for learning latent seasonalities in long-horizon financial time series. [PDF]

PLoS One
Tang Z, Huang J, Rinprasertmeechai D.
europepmc   +1 more source

Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns

Sarit Maitra, Vivek Mishra, Sukanya Kundu, Manav Chopra   +3 more
openalex   +1 more source

OPTION PRICING AND THE ARBITRAGE PRICING THEORY [PDF]

Journal of Financial Research, 1986
AbstractThis paper applies the arbitrage pricing theory to option pricing. Under certain distribution assumptions or the assumption that there is only one common factor, the underlying asset of an option is the sole risky factor that explains its expected return. Based upon this relationship, a new and simple option‐pricing formula is derived, and some
Jack S. K. Chang, Latha Shanker
openaire   +2 more sources

The Arbitrage Pricing Theory and Supershares [PDF]

The Journal of Finance, 1989
ABSTRACTIn a single‐period model with options on the market portfolio, linear factor pricing holds if and only if the variance of the market conditional on the factors is zero. There is no need for factors other than nonlinear functions of the market.
openaire   +1 more source

Some of the next articles are maybe not open access.

Related searches:

On the arbitrage pricing theory

Economic Theory, 1991
The Arbitrage Pricing Theory relates the expected rates of return on a sequence of primitive securities to their factor exposures, suggesting that factor risk is of critical importance in asset pricing. However, we show that if the sequence of primitive returns is replaced by a sequence of returns on portfolios formed from the primitive securities ...
Stephen F. LeRoy, Christian Gilles
openaire   +2 more sources

An Empirical Investigation of the Arbitrage Pricing Theory

The Journal of Finance, 1980
ABSTRACTEmpirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using data for individual equities during the 1962–72 period, at least three and probably four priced factors are found in the generating process of returns. The theory is supported in that estimated expected returns depend on estimated factor loadings, and variables
Roll, Richard, Ross, Stephen A.
openaire   +3 more sources

arbitrage pricing theory

2008
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors.
Gur Huberman, Zhenyu Wang
openaire   +2 more sources

Perspective on Arbitrage Pricing Theory [PDF]

SSRN Electronic Journal, 2011
The 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. Focusing on arbitrage pricing theory, this paper tries to analyze its effect in the Indian stock market. The advantages of arbitrage pricing theory (APT) over
openaire   +1 more source

The Arbitrage Pricing Theory: Is it Testable?

The Journal of Finance, 1982
ABSTRACTThis paper challenges the view that the Arbitrage Pricing Theory (APT) is inherently more susceptible to empirical verification than the Capital Asset Pricing Model (CAPM). The usual formulation of the testable implications of the APT is shown to be inadequate, as it precludes the very expected return differentials which the theory attempts to ...
openaire   +2 more sources