Results 221 to 230 of about 757,258 (252)

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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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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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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The valuation problem in arbitrage price theory

Journal of Mathematical Economics, 1993
Abstract Suppose a continuous, strictly positive, linear price functional p is given on a subspace M of marketed claims. The valuation problem consists of verifying whether or notthere exists a continuous, strictly positive, linear extension of p from M to the entire contingent claims space X .
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The Rise and Fall of the Arbitrage Pricing Theory

SSRN Electronic Journal, 2014
The Arbitrage Pricing Theory (APT) was proposed as a more complex and therefore more complete alternative to the Capital Asset Pricing Model (CAPM) which was thought to be too simple and limited in scope to be a useful or empirically testable theory. In the end it turned out that what the APT had to offer was nothing more than complexity for the sake ...
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Mean‐ portfolio selection and ‐arbitrage for coherent risk measures

Mathematical Finance, 2022
Nazem Khan, Martin Herdegen
exaly  

International Arbitrage Pricing Theory

The Journal of Finance, 1983
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Generalized statistical arbitrage concepts and related gain strategies

Mathematical Finance, 2021
Thorsten Schmidt
exaly  

Nonlinear limits to arbitrage

Journal of Futures Markets, 2022
Jingzhi Chen, Charlie X Cai, Robert Faff
exaly  

INTEREST RATES SENSITIVITY ARBITRAGE – THEORY AND PRACTICAL ASSESMENT FOR FINANCIAL MARKET TRADING

Business, Management and Economics Engineering, 2021
Bohumil Stádník
exaly