Results 41 to 50 of about 107,784 (157)
Measuring the pricing error of the arbitrage pricing theory
, 1996 This paper provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor model. In particular, we propose
John Geweke, Guofu Zhou
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Prediction Model of Box Office Based on Arbitrage Pricing Theory: An Empirical Analysis from China
International Journal of Economics and Financial Issues, 2019 According to characteristics of revenue and risks involved in film investments, this paper expounds that movies can also be treated as a common tradable asset in capital markets.
Wang Qingshi, Li Naiqian, Hashmat Ali
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KnE Social Sciences, 2019 PoliticsRiskandMacroEconomicsfactorsIndonesiahavebecomeoneoftheindicators for investors to invest in Indonesia. Generally, investors expect a higher expected return, but the desire is not in accordance with the fact that the rate of return obtained is ...
Eddy Irsan Siregar, Diana
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Arbitrage Theorem and its Applications
Theory, Methodology, Practice, 2002 In my article I describe the concept of financial rate of return and the value of return in a very simple model first. Then as generalisation of the model we take an experiment, which has n possible outcomes.
Tamás Nagy
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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
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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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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
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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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APMBA (Asia Pacific Management and Business Application), 2015 For decades, there were many models explaining the returns earned emerged in order to fulfil the curiosity had by human. Since then, various studies and empirical findings in many countries’ stock market showedthat the empirical findings of market return
Leo Julianto
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