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Continuous-Time Asset Pricing Theory, 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.
R. Jarrow
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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.
R. Jarrow
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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 ...
Bower, Dorothy H +2 more
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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 ...
Jay Shanken
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International Arbitrage Pricing Theory: An Empirical Investigation
The Journal of Finance, 1986ABSTRACTIn 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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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
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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
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ARBITRAGE PRICING THEORY IN ERGODIC MARKETS
International Journal of Theoretical and Applied Finance, 2018Traditional 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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