Results 231 to 240 of about 55,509 (274)

OPTION PRICING AND THE ARBITRAGE PRICING THEORY

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
Shih‐Kang Chang, Latha Shanker
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The Arbitrage Pricing Theory (APT)

Contributions To Finance and Accounting
Peter Brusov, Tatiana Filatova
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Arbitrage Pricing Theory in Ergodic Markets

SSRN Electronic Journal, 2017
Traditional 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 to apply the theory of Hilbert spaces in a natural way.
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A Semiautoregression Approach to the Arbitrage Pricing Theory

The Journal of Finance, 1993
ABSTRACTThis paper developes a semiautoregression (SAR) approach to estimate factors of the arbitrage pricing theory (APT) that has the advantage of providing a simple asymptotic variance‐covariance matrix for the factor estimates, which makes it easy to adjust for measurement errors.
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A simple approach to arbitrage pricing theory

Journal of Economic Theory, 1982
The following sections are included:INTRODUCTIONARBITRAGE PRICINGDISCUSSIONREFERENCESdiscussion: Notes on the Arbitrage Pricing TheoryPURE ARBITRAGE PRICING THEORYAPPROXIMATE ARBITRAGE AND THE APTAPPROXIMATE FACTOR MODELSTHE COMPETITIVE EQUILIBRIUM VERSION OF THE ...
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Some Results in the Theory of Arbitrage Pricing

The Journal of Finance, 1984
ABSTRACTThis paper derives a stronger version of Huberman's recent “preference free” pricing theorem. This pricing result relates the expected return on an asset to its factor responses and the covariance structure of the residuals from a linear factor model.
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The Arbitrage Theory of Capital Asset Pricing

Journal of Economic Theory, 1976
Examines 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.
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Uncertainty and the arbitrage pricing theory

Atlantic Economic Journal, 1997
This paper tests the economic importance of income uncertainty in the context of a measured factor arbitrage pricing theory model. This provides a test of the importance of uncertainty using a different methodology and data set than are traditionally used.
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THE MAGNITUDE OF PRICING ERRORS IN THE ARBITRAGE PRICING THEORY

Journal of Financial Research, 1991
AbstractIn this paper the arbitrage pricing theory (APT) pricing errors for individual securities are estimated employing maximum likelihood factor analysis and Fama‐MacBeth style aggregation. Results show that the pricing errors are large and statistically significant and that there is a high degree of variability in pricing errors across securities ...
Ashok Robin, Ravi Shukla
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On tests of the arbitrage pricing theory

OR Spektrum, 1984
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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