Results 21 to 30 of about 53,382 (182)
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
Organum, 2021 In doing investment, an investor certainly avoids risk; thus, the investor needs a model in making predictions to forecast the return of shares. There are two models to predict this: Capital Asset Pricing Capital (CAPM) and Arbitrage Pricing Theory (APT).
Elly Susanti +3 more
doaj +1 more source
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 +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
Perbandingan Keakuratan Metode Capital Asset Pricing Model dan Arbitrage Pricing Theory dalam Memprediksi Return Saham (Studi pada Perusahaan Sektor Barang Konsumsi dan Sektor Pertambangan yang Terdaftar di Indeks Saham Syariah Indonesia (ISSI) Peri [PDF]
, 2018 CAPM is a balance model that can determine the risks and returns that investors will gain. Under the CAPM, the level of risk and the appropriate rate of return has a positive and linear relationship.
Indra, Y. A. (Yetti)
core +2 more sources
Borsa Istanbul Review, 2019 This paper studies the dynamics of the impact of currency fluctuation on Indian stock market by assessing the pricing of exchange rate risk during the period 2005–2016, specifically before and after financial crises.
Smita Mahapatra, Saumitra N. Bhaduri
doaj +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
Arbitrage-Free Pricing Before and Beyond Probabilities
, 2013 "Fundamental theorem of asset pricing" roughly states that absence of arbitrage opportunity in a market is equivalent to the existence of a risk-neutral probability. We give a simple counterexample to this oversimplified statement.
Paulot, Louis
core +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
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 +2 more
doaj +1 more source