Results 221 to 230 of about 111,755 (296)
Smart Energy Management for Residential PV Microgrids: ESP32-Based Indirect Control of Commercial Inverters for Enhanced Flexibility. [PDF]
Sensors (Basel)Tradacete-Ágreda M +5 more
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Corporate bond risk and the arbitrage pricing theory : an empirical study
, 1987 Chihuang Herman Lin
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Dynamic characteristics of expectations of short-term interest rate and a generalized Vasicek model. [PDF]
HeliyonGuan Y, Fang Z, Wang X, Wang X, Yu T.
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The association between arbitrage pricing theory risk measures and traditional accounting variables
, 1994 Theophanis Stratopoulous
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Continuous-Time Asset Pricing Theory, 2021
This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
R. Jarrow
semanticscholar +6 more sources
This chapter studies the modifications needed due to the introduction of trading constraints in the arbitrage pricing theory of the fundamental theorems Chap. 2. Most, but not all of the three fundamental theorems of asset pricing extend with trading constraints.
R. Jarrow
semanticscholar +6 more sources
Arbitrage Pricing Theory in Ergodic Markets
SSRN Electronic Journal, 2017Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, but empirical applications of APT are, nowadays, based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me
Gabriel Frahm
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The arbitrage theory of capital asset pricing
Journal of Economic Theory, 1976Examines the arbitrage model of capital asset pricing as an alternative to the mean variance capital asset pricing model introduced by Sharpe, Lintner and Treynor. Overview of the arbitrage theory; Role of the arbitrage model in explaining phenomena observed in capital markets for risky assets; Influence of the presence of noise on the pricing relation.
S. Ross
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The Arbitrage Pricing Theory: Some Empirical Results
The Journal of Finance, 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 requirement for any alternative model should be that it explains the empirical anomalies which ...
Marc R. Reinganum
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Arbitrage Pricing Theory and Utility Stock Returns
The Journal of Finance, 1984ABSTRACTThis paper presents some new evidence that Arbitrage Pricing Theory may lead to different and better estimates of expected return than the Capital Asset Pricing Model, particularly in the case of utility stock returns. Results for monthly portfolio returns for 1971–1979 lead to the conclusion that regulators should not adopt the single‐factor ...
Dorothy H. Bower, R. Bower, D. Logue
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