Results 41 to 50 of about 54,368 (195)
En la frontera de media-desviación estándar
Estudios Económicos, 1996 En este trabajo se presenta un análisis de la Frontera de Media Desviación Estándar (MSF) en términos de dos portafolios notables, y se estudia la localización geométrica de dichos portafolios en la frontera.
Eneas A. Caldiño
doaj +1 more source
Autoregressive multifactor APT model for U.S. Equity Markets [PDF]
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns ...
Malhotra, Karan
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Implicit transaction costs and the fundamental theorems of asset pricing
, 2017 This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded volume.
Allaj, Erindi
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The Arbitrage Pricing Theorem with Incomplete Preferences [PDF]
This paper proves existence of equilibrium and the arbitrage pricing theorem for an asset exchange economy, where the individual's preferences may be incomplete or intransitive.
David Kelsey, Erkan Yalcin
core
Arbitrage pricing theory: Evidence from an emerging stock market
Journal of International Economics and Management, 2013 Employing the data for the period before the Asian Financial Crisis 1997-1998, between Jan 1987 and Dec 1996 under the light of the methodology proposed by Fama and McBeth (1973), the research investigates the relationship between the stock returns in ...
Dinh Tho Nguyen
doaj
Testing APT Model upon a BVB Stocks’ Portfolio [PDF]
Informatică economică, 2011 Applying the Arbitrage Pricing Theory model (APT), there can be identified the major factors of influence for a BVB’ portfolio stocks' trend. There were taken into consideration two of the APT theory models, establishing influences upon portfolio's yield:
Alexandra BONTAŞ, Ioan ODAGESCU
doaj
Empirical testing of the Arbitrage Pricing Theory using data from the Johannesburg Stock Exchange
South African Journal of Business Management, 1986 In 1976 Stephen A. Ross developed a new theory of securities pricing called the Arbitrage Pricing Theory (APT). According to the APT the return an investor can expect from a share is related to the risk-free rate and numerous other factors rather than ...
M. J. Page
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Limit to Arbitrage and Distress Risk Puzzle in Vietnam: Does Corporate Bankruptcy Regulation Matter?
SAGE OpenThis study is the first to examine how limit-to-arbitrage factors impact the distress risk puzzle in Vietnam before and after implementing bankruptcy regulations.
Khoa Dang Duong +3 more
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Arbitrage Pricing Theory for Idiosyncratic Variance Factors [PDF]
, 2022 Eric Renault +2 more
openalex +1 more source