Results 21 to 30 of about 107,784 (157)

Scope of the arbitrage pricing theory [PDF]

Anali Ekonomskog fakulteta u Subotici, 2019
An important element of the positive portfolio theory which in addition to the Capital Asset Pricing Model (CAPM) provides an important contribution in terms of understanding the relationship between return and risk and pricing of assets in the capital ...
Leković Miljan
doaj  

Rating of LQ-45 stock index performance credibility in Indonesia Stock Exchange

Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2019
This study aims to analyze stock performance credibility using the Capital Asset Pricing Model (CAPM) method, the Arbitrage Pricing Theory (APT) method, the Fama-French Three-Factor Model (FFTFM), and the 2013-2017 LQ-45 Stock Performance rating.
Tona Aurora Lubis, Ade Octavia, Widyanti Fitri   +2 more
doaj   +1 more source

Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process [PDF]

مجله دانش حسابداری, 2014
Unanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance.
doaj   +1 more source

PENGGUNAAN ARBITRAGE PRICING THEORY UNTUK MENGANALISIS RETURN SAHAM SYARIAH

, 2017
Arbitrage Pricing Theory (APT) is one of model that can be used to quantify the risk for investorsin order to produce capital gain.There are two empirical models  are used in implement the APT: the factor loading model (FLM) and the macro variable model (
Gusni Gusni, Suskim Riantani
semanticscholar   +1 more source

Analisis Keakuratan Capital Asset Pricing Model (CAPM) dan Arbitrage Pricing Theory (APT) dalam Memprediksi Expected Saham pada LQ45

, 2017
Para investor dalam pembelian saham pada dasarnya memiliki tujuan yang sama yaitu mengharapkan pengembalian ( return ) yang maksimal dan risiko seminimal mungkin.
Muhammad Irfan Ibrahim, Jullia Titaley, Tohap Manurung   +2 more
semanticscholar   +1 more source

The Laws of Motion of the Broker Call Rate in the United States

International Journal of Financial Studies, 2019
In this paper, which is the third installment of the author’s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin ...
Alex Garivaltis
doaj   +1 more source

A Robust Application of the Arbitrage Pricing Theory: Evidence from Nigeria

, 2017
Arbitrage pricing theory (APT) is a testable theory based on the idea that in competitive financial markets arbitrage will ensure that riskless assets provide the same expected return. We sought to confirm the relevance of the arbitrage pricing theory in
J. O. Oluwatosin, A. Olufemi
semanticscholar   +1 more source

How to Test the Arbitrage Pricing Theory (APT) [PDF]

Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2007
As a response to critiques about the capital asset pricing model (CAPM), Ross (1976) proposed Arbitrage Pricing Theory (APT) as an alternative model with fewer assumptions, and use of multi risk factors affecting assets prices instead of one.
Ghassem Mohsseni Demneh
doaj  

ACCURACY LEVEL OF CAPM AND APT MODELS IN DETERMINING THE EXPECTED RETURN OF STOCK LISTED ON LQ45 INDEX

Jurnal Aplikasi Manajemen, 2020
This study determines the accuracy level of CAPM and APT in determining the expected return of LQ45 and comparing the expected return from CAPM and APT models. This study uses descriptive and comparative research approaches.
Irni Yunita, Tieka Tri Kartika Gustyana, Dwi Kurniawan   +2 more
doaj   +1 more source

Optional Defaultable Markets

Risks, 2017
The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces ...
Mohamed N. Abdelghani, Alexander V. Melnikov   +1 more
doaj   +1 more source