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An Empirical Examination Of The Arbitrage Pricing Theory In The Australian Equity Market
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Book Synopsis An Empirical Examination of the Arbitrage Pricing Theory in the Australian Equity Market by : Robert William Faff
Download or read book An Empirical Examination of the Arbitrage Pricing Theory in the Australian Equity Market written by Robert William Faff and published by . This book was released on 1986 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Test of the Arbitrage Pricing Theory by : Norman A. Sinclair
Download or read book An Empirical Test of the Arbitrage Pricing Theory written by Norman A. Sinclair and published by . This book was released on 1982 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Test of the Arbitrage Pricing Theory by : Sungmoon Lee
Download or read book An Empirical Test of the Arbitrage Pricing Theory written by Sungmoon Lee and published by . This book was released on 1990 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Test of the Arbitrage Pricing Theory in the Hong Kong Stock Market by : Moon-Chuen Yuen
Download or read book An Empirical Test of the Arbitrage Pricing Theory in the Hong Kong Stock Market written by Moon-Chuen Yuen and published by . This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Investigation of Asset-pricing Models in Australia by : Manapon Limkriangkrai
Download or read book An Empirical Investigation of Asset-pricing Models in Australia written by Manapon Limkriangkrai and published by . This book was released on 2007 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: [Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton's zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models . . . This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
Book Synopsis An Empirical Test of the Arbitrage Pricing Theory in the Hong Kong Stock Market by : Moon-chuen Yuen
Download or read book An Empirical Test of the Arbitrage Pricing Theory in the Hong Kong Stock Market written by Moon-chuen Yuen and published by . This book was released on 1985 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Examination of the Robustness of Arbitrage Factors by : Randall Barry Howard
Download or read book An Empirical Examination of the Robustness of Arbitrage Factors written by Randall Barry Howard and published by . This book was released on 1997 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: After thirty years of vigorous research, there is still little agreement in the field of asset pricing theory. Shanken and Smith (1996) sum up the vast amount of empirical research on asset pricing models by saying, "Although we have learned much about the cross sectional and time series properties of returns and have developed sophisticated statistical methods to increase the power of the tests, numerous unanswered questions remain." Two of the most fundamental, yet unanswered, questions are: How many factors are there? and What are those factors? The two primary equilibrium, expected return models are the Capital Asset Pricing Model (CAPM), developed almost simultaneously by Sharpe (1964), Lintner (1965), and Mossin (1966), and the Arbitrage Pricing Theory (APT), introduced by Ross (1976, 1977). The CAPM is a one factor model that states that the equilibrium rate of return on any asset is a linear function of the asset's covariance with the market portfolio. The APT, on the other hand, is a multifactor model.
Book Synopsis Empirical Investigations Into Asset Pricing in the Australian Equity Market by : Robert William Faff
Download or read book Empirical Investigations Into Asset Pricing in the Australian Equity Market written by Robert William Faff and published by . This book was released on 1993 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Examination of the Implications of Arbitrage Pricing Theory by :
Download or read book An Empirical Examination of the Implications of Arbitrage Pricing Theory written by and published by . This book was released on 1984 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Examination of the Return Generating Process of the Arbitrage Pricing Theory by : Michael R. Gibbons
Download or read book Empirical Examination of the Return Generating Process of the Arbitrage Pricing Theory written by Michael R. Gibbons and published by . This book was released on 1986 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Test of Macroeconomic Variables Through Arbitrage Pricing Theory in Different Industry Indices in the Australian Stock Market by : Gaoxiang Wang
Download or read book Test of Macroeconomic Variables Through Arbitrage Pricing Theory in Different Industry Indices in the Australian Stock Market written by Gaoxiang Wang and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Empirical Examination of the Arbitrage Pricing Theory by : Yasushi Hamao
Download or read book Empirical Examination of the Arbitrage Pricing Theory written by Yasushi Hamao and published by . This book was released on 1987 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation by : Christian Koch
Download or read book The Arbitrage Pricing Theory as an Approach to Capital Asset Valuation written by Christian Koch and published by GRIN Verlag. This book was released on 2009-03 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
Book Synopsis The Empirical Foundations of the Arbitrage Pricing Theory I by : Bruce Neal Lehmann
Download or read book The Empirical Foundations of the Arbitrage Pricing Theory I written by Bruce Neal Lehmann and published by . This book was released on 1985 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Arbitrage Pricing Theory in a Small Open Economy by : Anders Löflund
Download or read book Arbitrage Pricing Theory in a Small Open Economy written by Anders Löflund and published by . This book was released on 1992 with total page 154 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Examination of a Continuous-time Arbitrage Pricing Model for Bonds by : Joseph P. Ogden
Download or read book An Empirical Examination of a Continuous-time Arbitrage Pricing Model for Bonds written by Joseph P. Ogden and published by . This book was released on 1982 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Arbitrage Pricing Model by : George P. Diacogiannis
Download or read book Arbitrage Pricing Model written by George P. Diacogiannis and published by . This book was released on 1983 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
