Results 221 to 230 of about 55,509 (274)
Some of the next articles are maybe not open access.
Related searches:
Related searches:
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 +4 more sources
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 +4 more sources
On the arbitrage pricing theory
Economic Theory, 1991zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gilles, Christian, LeRoy, Stephen F.
openaire +1 more source
The Arbitrage Pricing Theory and Supershares
The Journal of Finance, 1989ABSTRACTIn 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
The Arbitrage Pricing Theory: Is it Testable?
The Journal of Finance, 1982ABSTRACTThis 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 +1 more source
On a Semigroup Approach to No-arbitrage Pricing Theory
1999We show that the second order operator characterizing no-arbitrage pricing problems generates an Analytic Semigroup and therefore the Cauchy problem defining the no-arbitrage price of contingent claim contracts admits a solution. The conditions established in this paper are quite general, they encompass the sets of sufficient conditions already ...
E. BARUCCI, F. GOZZI, VESPRI, VINCENZO
openaire +3 more sources
1987
The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
openaire +2 more sources
The Arbitrage Pricing Theory (APT) is due to Ross (1976a, 1976b). It is a one period model in which every investor believes that the stochastic properties of capital assets’ returns are consistent with a factor structure. Ross argues that if equilibrium prices offer no arbitrage opportunities, then the expected returns on these capital assets are ...
openaire +2 more sources
An Empirical Investigation of the Arbitrage Pricing Theory
The Journal of Finance, 1980ABSTRACTEmpirical 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 +2 more sources