Results 41 to 50 of about 580 (159)

CAPM or APT? A Comparison of Two Asset Pricing Models for Malaysia

Malaysian Management Journal, 1999
This study uses monthly return data on 213 stocks listed on the main board of Kuala Lumpur Stock Exchange, Malaysia for the period September 1988 to June 1997 to compare two frequently cited asset pricing models: the capital asset pricing model, CAPM and
Cung Huck Khoon, Ahmadu Umaru Sanda, G.S. Gupta   +2 more
doaj  

Virtual Arbitrage Pricing Theory [PDF]

, 1999
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the correction to the APT due to the virtual arbitrage opportunities.
openaire   +3 more sources

Programação dinâmica aplicada a finanças

Production, 1997
Este artigo mostra a aplicação da programação dinâmica estocástica e o seu uso em Finanças. Um dos objetivos mais usuais da teoria financeira é determinar a trajetória ou caminho ótimo para determinada variável.
Tara Keshar Nanda Baídya, Fernando Antônio Lucena Aiube   +1 more
doaj   +1 more source

Econometric Model Using Arbitrage Pricing Theory and Quantile Regression to Estimate the Risk Factors Driving Crude Oil Returns

JOIV: International Journal on Informatics Visualization
This work presents a novel approach to determining the risk and return of crude oil stocks by employing Arbitrage Pricing Theory and Quantile Regression.
Sarit Maitra, Vivek Mishra, Sukanya Kundu, Manav Chopra   +3 more
doaj   +1 more source

Modelos multifactores macroeconómicos desde la perspectiva del Arbitrage Pricing Theory (APT)

Análisis Económico, 2014
El planteamiento de un modelo multifactor macroeconómico desde la perspectiva del APT requiere de una adecuada selección de los factores de riesgo, éstos deben tener fácil interpretación, ser robustos en el tiempo y explicar tanto como sea posible la ...
Elitania Leyva Rayón
doaj  

Statistical and computational techniques for extraction of underlying systematic risk factors: a comparative in the Mexican stock exchange

Revista Finanzas y Política Económica, 2021
This paper compares the dimension reduction or feature extraction techniques, e.g., Principal Component Analysis, Factor Analysis, Independent Component Analysis and Neural Networks Principal Component Analysis, which are used as techniques for ...
Rogelio, Salvador Torra Porras, Enric Monte Moreno   +2 more
doaj  

Estudio de un portafolio en la frontera de media-desviación estándar no observable

Análisis Económico, 2005
En este artículo se demuestra que si un portafolio p está en la frontera generada por N instrumentos financieros, entonces el portafolio p está en la frontera generada por cualquier subconjunto de M (M < N) de los N instrumentos financieros y el mismo ...
Eneas A. Caldiño García
doaj  

Arbitrage Pricing Theory: Evidence From An Emerging Stock Market

Lahore Journal of Economics
The development of financial equilibrium asset pricing models has been the most important area of research in modern financial theory. These models are extensively tested for developed markets.
Javed Iqbal, Aziz Haider
doaj  

The Impacts of Macroeconomic Variables on the Iranian Stock Market [PDF]

پژوهشهای اقتصادی, 2009
This paper is an attempt to investigate the impacts of macroeconomic variables on capital market in Iran using quarterly observations for the period 1991Q2 to 2007Q1.
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doaj  

ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION

Economic Review, 2016
Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to ...
Özge SEZGİN ALP, Fazıl GÖKGÖZ, Güray KÜÇÜKKOCAOĞLU   +2 more
doaj   +2 more sources