Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Measuring The Pricing Error Of The Arbitrage Pricing Theory full books in PDF, epub, and Kindle. Read online Measuring The Pricing Error Of The Arbitrage Pricing Theory ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : John Geweke
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.3/5 ( download)
Download or read book Measuring the Pricing Error of the Arbitrage Pricing Theory written by John Geweke and published by . This book was released on 1995 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Geweke
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Measuring the Pricing Error of the Arbitrage Pricing Theory written by John Geweke and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 a measure of the APT pricing deviations and obtain its exact posterior distribution. Using monthly portfolio returns grouped by industry and market capitalization, we find that there is little improvement in reducing the pricing errors by including more factors beyond the first one.
Author : Jianping Mei
Publisher : World Scientific
ISBN 13 : 9814501808
Total Pages : 132 pages
Book Rating : 4.8/5 (145 download)
Download or read book New Methods For The Arbitrage Pricing Theory And The Present Value Model written by Jianping Mei and published by World Scientific. This book was released on 1994-10-24 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.
Author : Zhenyu Wang
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)
Download or read book Empirical Evaluation of Asset Pricing Models written by Zhenyu Wang and published by . This book was released on 2014 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Hansen and Jagannathan (1997) have developed two measures of pricing errors for asset-pricing models: the maximum pricing error in all static portfolios of the test assets and the maximum pricing error in all contingent claims of the assets. In this paper, we develop simulation-based Bayesian inference for these measures. While the literature reports that the time-varying extensions substantially reduce pricing errors of classic models on the standard test assets, our analysis shows that the reduction is much smaller based on the second measure. Those time-varying models have large pricing errors on the contingent claims of the test assets because their stochastic dis- count factors are often negative and admit arbitrage opportunities.
Author : Bing Cheng
Publisher : World Scientific
ISBN 13 : 9812832505
Total Pages : 91 pages
Book Rating : 4.8/5 (128 download)
Download or read book Asset Pricing written by Bing Cheng and published by World Scientific. This book was released on 2008 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modern asset pricing models play a central role in finance and economic theory and applications. This book introduces a structural theory to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some algebraic (valuation-preserving) operations are developed in asset spaces and pricing kernel spaces. This has a very important implication leading to practical guidance in portfolio management and asset allocation in the global financial industry. The book also covers topics, such as the role of over-confidence in asset pricing modeling, relationship of the portfolio insurance with option and consumption-based asset pricing models, etc.
Author : Kim R. Sawyer
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
Download or read book Testing the Arbitrage Pricing Condition of Apt written by Kim R. Sawyer and published by . This book was released on 2006 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The principal result of APT is the arbitrage pricing condition that expected returns can be approximated by a linear combination of risk with strongly bounded pricing errors. Existing tests of APT either assume the pricing error to be zero or of order one in probability. Neither assumption is consistent with the theory of APT. In this paper, we characterize the pricing errors in terms of orders of probability. Errors consistent with APT are shown to be of order 1/SQRT(N) in probability where N is the number of assets. A test for APT is then a test of the order of the pricing error. We construct such a test based on tests for heteroscedasticity across sequences of assets. In a simulation study for both known and unknown factor structures, we show that this test performs better than existing tests for detecting violations of arbitrage pricing. In a study of US equities from 1978-2002, we find that the strongest evidence for arbitrage pricing is in single-factor models.
Author : Christian Koch
Publisher : GRIN Verlag
ISBN 13 : 3640277856
Total Pages : 81 pages
Book Rating : 4.6/5 (42 download)
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
Author : Gregory Connor
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (114 download)
Download or read book Performance Measurement with the Arbitrage Pricing Theory written by Gregory Connor and published by . This book was released on 1984 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pablo Koch-Medina
Publisher : Springer Nature
ISBN 13 : 3030397246
Total Pages : 448 pages
Book Rating : 4.0/5 (33 download)
Download or read book Market-Consistent Prices written by Pablo Koch-Medina and published by Springer Nature. This book was released on 2020-07-16 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: Arbitrage Theory provides the foundation for the pricing of financial derivatives and has become indispensable in both financial theory and financial practice. This textbook offers a rigorous and comprehensive introduction to the mathematics of arbitrage pricing in a discrete-time, finite-state economy in which a finite number of securities are traded. In a first step, various versions of the Fundamental Theorem of Asset Pricing, i.e., characterizations of when a market does not admit arbitrage opportunities, are proved. The book then focuses on incomplete markets where the main concern is to obtain a precise description of the set of “market-consistent” prices for nontraded financial contracts, i.e. the set of prices at which such contracts could be transacted between rational agents. Both European-type and American-type contracts are considered. A distinguishing feature of this book is its emphasis on market-consistent prices and a systematic description of pricing rules, also at intermediate dates. The benefits of this approach are most evident in the treatment of American options, which is novel in terms of both the presentation and the scope, while also presenting new results. The focus on discrete-time, finite-state models makes it possible to cover all relevant topics while requiring only a moderate mathematical background on the part of the reader. The book will appeal to mathematical finance and financial economics students seeking an elementary but rigorous introduction to the subject; mathematics and physics students looking for an opportunity to get acquainted with a modern applied topic; and mathematicians, physicists and quantitatively inclined economists working or planning to work in the financial industry.
Author : Anders Löflund
Publisher :
ISBN 13 :
Total Pages : 154 pages
Book Rating : 4.3/5 (97 download)
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:
Author : John H. Cochrane
Publisher : Princeton University Press
ISBN 13 : 1400829135
Total Pages : 560 pages
Book Rating : 4.4/5 (8 download)
Download or read book Asset Pricing written by John H. Cochrane and published by Princeton University Press. This book was released on 2009-04-11 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now appears in a revised edition that unifies and brings the science of asset pricing up to date for advanced students and professionals. Cochrane traces the pricing of all assets back to a single idea--price equals expected discounted payoff--that captures the macro-economic risks underlying each security's value. By using a single, stochastic discount factor rather than a separate set of tricks for each asset class, Cochrane builds a unified account of modern asset pricing. He presents applications to stocks, bonds, and options. Each model--consumption based, CAPM, multifactor, term structure, and option pricing--is derived as a different specification of the discounted factor. The discount factor framework also leads to a state-space geometry for mean-variance frontiers and asset pricing models. It puts payoffs in different states of nature on the axes rather than mean and variance of return, leading to a new and conveniently linear geometrical representation of asset pricing ideas. Cochrane approaches empirical work with the Generalized Method of Moments, which studies sample average prices and discounted payoffs to determine whether price does equal expected discounted payoff. He translates between the discount factor, GMM, and state-space language and the beta, mean-variance, and regression language common in empirical work and earlier theory. The book also includes a review of recent empirical work on return predictability, value and other puzzles in the cross section, and equity premium puzzles and their resolution. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics.
Author : Randall Barry Howard
Publisher :
ISBN 13 :
Total Pages : 308 pages
Book Rating : 4.3/5 (21 download)
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.
Author : Diana R. Harrington
Publisher : Prentice Hall
ISBN 13 :
Total Pages : 242 pages
Book Rating : 4.3/5 (97 download)
Download or read book Modern Portfolio Theory, the Capital Asset Pricing Model, and Arbitrage Pricing Theory written by Diana R. Harrington and published by Prentice Hall. This book was released on 1987 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Trevor Anthony Laing
Publisher :
ISBN 13 :
Total Pages : 196 pages
Book Rating : 4.:/5 (928 download)
Download or read book Abnormal Return Measurement in Event Studies written by Trevor Anthony Laing and published by . This book was released on 1988 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gabriel Frahm
Publisher :
ISBN 13 :
Total Pages : 22 pages
Book Rating : 4.:/5 (13 download)
Download or read book Arbitrage Pricing Theory in Ergodic Markets written by Gabriel Frahm and published by . This book was released on 2017 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Traditional approaches to Arbitrage Pricing Theory (APT) propose a factor model, whereas empirical applications of APT nowadays are based on seemingly unrelated regression. I drop the factor model and assume only that the market is ergodic. This enables me to apply the theory of Hilbert spaces in a natural way. The expected return on any asset can always be approximated by an affine-linear function of its betas. We are even able to estimate the relative number of assets that violate the APT equation by observing the given expected returns and betas. The APT equation is essentially satisfied only if we do not omit any common risk whose market price differs from zero, provided there exists an arbitrarily large number of common risks for which the return equation is properly specified. I present a quite simple sufficient condition for the APT equation in its inexact form, and I show that the APT equation holds true in its exact form if and only if an equilibrium market is exhaustive. This means that the market participants must be able to replicate the betas and idiosyncratic risk of each asset by some strategy that diversifies away all approximation errors in the market.
Author : Robert Edward McCulloch
Publisher :
ISBN 13 :
Total Pages : 86 pages
Book Rating : 4.E/5 ( download)
Download or read book Testing the Arbitrage Pricing Theory written by Robert Edward McCulloch and published by . This book was released on 1988 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Raj Dhankar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Arbitrage Pricing Theory and the Capital Asset Pricing Model - Evidence from the Indian Stock Market written by Raj Dhankar and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The arbitrage pricing theory (APT) has been proposed as an alternative to the capital asset pricing model (CAPM). This paper uses principal components analysis to estimate the factors that influence stock returns. Analysis of the Indian stock market using monthly and weekly returns for 1991-2002 shows that APT with multiple factors provides a better indication of asset risk and estimates of required rate of return than CAPM which uses beta as the single measure of risk.
