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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 ...
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On tests of the arbitrage pricing theory
OR Spektrum, 1984zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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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
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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 ...
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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 ...
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Nonfarm employment and the arbitrage pricing theory
Economics Letters, 1995zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Geoff Chisholm, Willem Thorbecke
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The Arbitrage Theory of Capital Asset Pricing [PDF]
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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International Arbitrage Pricing Theory: An Empirical Investigation [PDF]
The Journal of Finance, 1986 ABSTRACTIn this paper, we test the arbitrage pricing theory (APT) in an international setting. Inter‐battery factor analysis is used to estimate the international common factors and the Chow test is used in testing the validity of the APT. Our inter‐battery factor analysis results show that the number of common factors between a pair of countries ...
Cho, D Chinhyung +2 more
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A Semiautoregression Approach to the Arbitrage Pricing Theory
The Journal of Finance, 1993ABSTRACTThis 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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Some Results in the Theory of Arbitrage Pricing
The Journal of Finance, 1984ABSTRACTThis 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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2018
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.
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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.
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