Results 251 to 260 of about 53,498 (290)

AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORY

Journal of Financial Research, 1982
AbstractThis paper provides an ex‐post analysis of a multifactor return‐generating model using the factor scores obtained from a common factor analysis of industry‐based portfolios. For the 1975–1980 time period, the correlations among common stock returns can be adequately explained by a three‐factor model. Furthermore, ex post, at least three factors
Son-Nan Chen, Robert A. Pari
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The budget deficit and the arbitrage pricing theory

Economics Letters, 1993
Abstract Non-linear SUR techniques are used to demonstrate that the budget deficit is a priced factor in the Arbitrage Pricing Theory. The results also indicate that unexpected increases in the deficit lower stock prices.
Caporale, Tony, Thorbecke, Willem
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Is the Arbitrage Pricing Theory Dead?

SSRN Electronic Journal, 2007
Is the Arbitrage Pricing Theory dead? This paper addresses this question by deriving a multibeta representation theorem, which can price assets using arbitrary reference variables that are not the true factors. Under this theorem, the upper bound on pricing deviations depends upon the correlations not only between the reference variables and the ...
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THE PRICING OF FUTURES CONTRACTS AND THE ARBITRAGE PRICING THEORY

Journal of Financial Research, 1990
AbstractWhen interest rates are stochastic, the cash flows of futures and forward contracts differ because of the marking‐to‐market requirement of futures contracts. The price effect of this difference is examined here by applying the risk and return model of the arbitrage pricing theory.
Jack S. K. Chang, Carolyn W. Chang, Carolyn W. Chang, Jean C. H. Loo   +3 more
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The valuation problem in arbitrage price theory

Journal of Mathematical Economics, 1993
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 not there exists a continuous, strictly positive, linear extension \(P\) of \(p\) from \(M\) to the entire contingent claims space \(X\).
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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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Arbitrage Pricing Theory and Utility Stock Returns

The Journal of Finance, 1984
ABSTRACTThis 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 ...
Bower, Dorothy H, Bower, Richard S, Logue, Dennis E   +2 more
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Some Remarks on Arbitrage Pricing Theory

Recent Developments in Mathematical Finance, 2001
AbstractIn this note we report main results in a recent paper by the authors, in which we established a version of Kramkov's optional decomposition theorem in the setting of equivalent martingale measures and using this theorem we clarified some basic concepts and results in arbitrage pricing theory: superhedging, fair price, replicatable contingent ...
Jianming Xia, Jia-An Yan
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Methodology of Arbitrage Pricing Theory

1991
The arbitrage pricing theory (APT) as discussed in Chapter 5 starts from the plausible assumption that there are a number of factors which drive the return on any financial asset. Whereas the CAPM is driven by a single factor, the return on the market portfolio, the APT allows that many factors drive rates of return.
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