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Testing The Arbitrage Pricing Theory
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Book Synopsis New Methods For The Arbitrage Pricing Theory And The Present Value Model by : Jianping Mei
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.
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 Testing the Arbitrage Pricing Theory by : Kathryn Ann Fisher
Download or read book Testing the Arbitrage Pricing Theory written by Kathryn Ann Fisher and published by . This book was released on 1985 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Finance written by John Eatwell and published by Palgrave Macmillan. This book was released on 1989-11-01 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is an excerpt from the 4-volume dictionary of economics, a reference book which aims to define the subject of economics today. 1300 subject entries in the complete work cover the broad themes of economic theory. This extract concentrates on finance.
Book Synopsis Testing the Arbitrage Pricing Theory in the United Kingdom by : Michael Beenstock
Download or read book Testing the Arbitrage Pricing Theory in the United Kingdom written by Michael Beenstock and published by . This book was released on 1986 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Basic Test of the Arbitrage Pricing Theory by : Melonie A. Mayo
Download or read book A Basic Test of the Arbitrage Pricing Theory written by Melonie A. Mayo and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market by : Eleftherios Giovanis
Download or read book Application of Capital Asset Pricing (CAPM) and Arbitrage Pricing Theory (APT) Models in Athens Exchange Stock Market written by Eleftherios Giovanis and published by GRIN Verlag. This book was released on 2010-03-26 with total page 94 pages. Available in PDF, EPUB and Kindle. Book excerpt: Seminar paper from the year 2007 in the subject Business economics - Investment and Finance, grade: 90.0%, , language: English, abstract: This paper examines the estimating and forecasting performance of the different and various Generalized Autoregressive Conditional Heteroscedasticity-GARCH’s models in relation to Capital Asste Pricing Model (CAPM) model. We apply the CAPM model with ordinary least squares (OLS) method to investigate if an ARCH (Autoregressive Conditional Heteroscedasticity) is presented and we are trying to decide and to analyze which GARCH model is the most appropriate and the best fitted for the financial time series that we have chosen. We apply CAPM model in the financial time series of the share prices of Technology-Software Sector in Athens Exchange stock market for the period January 1st of 2002 to October 30th of 2007 for the enterprises “Unibrain” “MLS Informatics” and “Dionic” respectively , from April 2nd of 2002 to 30th October of 2007 for the enterprise “Compucon”, from August 2nd of 2002 to 30th October of 2007 for the enterprise “Centric”, and finally from February 2nd of 2004 to 30th October of 2007 for the enterprise “Ilyda”. Additionally, we apply roiling regressions, where the full programming routines in EVIEWS and MATLAB are described detailed. We conclude that the slope β coefficient of CAPM model is not constant through the time period of rolling regressions we apply. In the final part we examine a simple Arbitrage Pricing Theory (APT) model.
Book Synopsis The Econometrics of Financial Markets by : John Y. Campbell
Download or read book The Econometrics of Financial Markets written by John Y. Campbell and published by Princeton University Press. This book was released on 2012-06-28 with total page 630 pages. Available in PDF, EPUB and Kindle. Book excerpt: The past twenty years have seen an extraordinary growth in the use of quantitative methods in financial markets. Finance professionals now routinely use sophisticated statistical techniques in portfolio management, proprietary trading, risk management, financial consulting, and securities regulation. This graduate-level textbook is intended for PhD students, advanced MBA students, and industry professionals interested in the econometrics of financial modeling. The book covers the entire spectrum of empirical finance, including: the predictability of asset returns, tests of the Random Walk Hypothesis, the microstructure of securities markets, event analysis, the Capital Asset Pricing Model and the Arbitrage Pricing Theory, the term structure of interest rates, dynamic models of economic equilibrium, and nonlinear financial models such as ARCH, neural networks, statistical fractals, and chaos theory. Each chapter develops statistical techniques within the context of a particular financial application. This exciting new text contains a unique and accessible combination of theory and practice, bringing state-of-the-art statistical techniques to the forefront of financial applications. Each chapter also includes a discussion of recent empirical evidence, for example, the rejection of the Random Walk Hypothesis, as well as problems designed to help readers incorporate what they have read into their own applications.
Book Synopsis On Testing the Arbitrage Pricing Theory by : D. Chinhyung Cho
Download or read book On Testing the Arbitrage Pricing Theory written by D. Chinhyung Cho and published by . This book was released on 1983 with total page 56 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 Testing the Arbitrage Pricing Theory by : Robert E. McCulloch
Download or read book Testing the Arbitrage Pricing Theory written by Robert E. McCulloch and published by . This book was released on 1988 with total page 64 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 Application of Arbitrage Pricing Theory to Futures Markets by : Bharat K. Kaku
Download or read book An Application of Arbitrage Pricing Theory to Futures Markets written by Bharat K. Kaku and published by . This book was released on 1987 with total page 600 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Capital Asset Pricing Model Vs. the Arbitrage Pricing Theory by : Karim Saadallah Shalak
Download or read book The Capital Asset Pricing Model Vs. the Arbitrage Pricing Theory written by Karim Saadallah Shalak and published by . This book was released on 2007 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Two of the most important and well known models for predicting equity returns ar e the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). This project will first examine and compare these two models theoretically fro m all aspects focusing on the strengths and weaknesses of each while taking into consideration past empirical work. In addition, this project will compare the empirical performance of the CAPM and the APT, specifically the Fama-French Thre e Factor Model, in predicting stock returns using stocks on the Dow Jones Indust rial Average. Using traditional measures such as the adjusted R-Squared, t-stat istic, and Wald test, no model was found to be superior to the other. As a resu lt, the Hansen-Jagannathan Distance test was used as a second resort. This test shows that the CAPM is actually superior to the APT. Chapter I will introduce both models and their implications. Chapter II and III will focus on the CAPM and APT respectively describing all their aspects includ ing evolution, strengths, weaknesses and past empirical applications. Chapter I V will comprise of an empirical study comparing both models to see which one doe s a better job in predicting equity returns. Chapter V will conclude the projec t with certain policy implications.
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 A Bayesian Approach to Testing the Arbitrage Pricing Theory by : Robert E. McCulloch
Download or read book A Bayesian Approach to Testing the Arbitrage Pricing Theory written by Robert E. McCulloch and published by . This book was released on 1989 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Time Series Investigation of the Arbitrage Pricing Theory by : Marilyn Katherine Wiley
Download or read book A Time Series Investigation of the Arbitrage Pricing Theory written by Marilyn Katherine Wiley and published by . This book was released on 1993 with total page 520 pages. Available in PDF, EPUB and Kindle. Book excerpt:
