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Empirical Tests Of The Explanatory Power Of Arbitrage Pricing Theory And Of The Stability Of The Model Parameters
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Book Synopsis Empirical Tests of the Explanatory Power of Arbitrage Pricing Theory, and of the Stability of the Model Parameters by : Ke-hua Zhou
Download or read book Empirical Tests of the Explanatory Power of Arbitrage Pricing Theory, and of the Stability of the Model Parameters written by Ke-hua Zhou and published by . This book was released on 1992 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Empirical Foundations of the Arbitrage Pricing Theory I by : Bruce N. Lehmann
Download or read book The Empirical Foundations of the Arbitrage Pricing Theory I written by Bruce N. Lehmann and published by . This book was released on 2010 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a detailed and extensive examination of the validity of the APT based on maximum likelihood factor analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining expected returns on portfolios composed of securities with different market capitalizations although it provided an adequate account of the expected returns of portfolios formed on the basis of dividend yield and own variance where risk adjustment with the CAPM employing the usual market proxies failed. In addition, it appears that the zero beta version of the APT is sharply rejected in favor of the riskless rate model and that there is little basis for discriminating among five and ten factor versions of the theory.
Book Synopsis Empirical Asset Pricing by : Wayne Ferson
Download or read book Empirical Asset Pricing written by Wayne Ferson and published by MIT Press. This book was released on 2019-03-12 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book offers a comprehensive advanced introduction to asset pricing, the study of models for the prices and returns of various securities. The focus is empirical, emphasizing how the models relate to the data. The book offers a uniquely integrated treatment, combining classical foundations with more recent developments in the literature and relating some of the material to applications in investment management. It covers the theory of empirical asset pricing, the main empirical methods, and a range of applied topics. The book introduces the theory of empirical asset pricing through three main paradigms: mean variance analysis, stochastic discount factors, and beta pricing models. It describes empirical methods, beginning with the generalized method of moments (GMM) and viewing other methods as special cases of GMM; offers a comprehensive review of fund performance evaluation; and presents selected applied topics, including a substantial chapter on predictability in asset markets that covers predicting the level of returns, volatility and higher moments, and predicting cross-sectional differences in returns. Other chapters cover production-based asset pricing, long-run risk models, the Campbell-Shiller approximation, the debate on covariance versus characteristics, and the relation of volatility to the cross-section of stock returns. An extensive reference section captures the current state of the field. The book is intended for use by graduate students in finance and economics; it can also serve as a reference for professionals.
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 An Application of Arbitrage Pricing Theory to Futures Markets by : Michael Ehrhardt
Download or read book An Application of Arbitrage Pricing Theory to Futures Markets written by Michael Ehrhardt and published by . This book was released on 2011 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: Keynes (1923) and Hicks (1939), hypothesized that futures prices are downward biased estimates of expected spot prices. Any empirical study that employs returns on futures contracts is actually a joint test of both the Keynes-Hicks hypothesis and of the assumed model of returns. Models based on the Capital Asset Pricing Model have been used to test the hypothesis, with different models implying different conclusions. As shown in this article, these models are all special cases of a general linear model. Arbitrage Pricing Theory provides the most powerful test for this class of linear models. No other linear model will provide greater explanatory power or account for more systematic risk. An Arbitrage Pricing Theory model is estimated in this article and the results appear inconsistent with the Keynes-Hicks hypothesis.
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 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 Some Empirical Tests in the Arbitrage Pricing Theory by : Su-Jane Chen
Download or read book Some Empirical Tests in the Arbitrage Pricing Theory written by Su-Jane Chen and published by . This book was released on 1993 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing the Arbitrage Pricing Theory by : Robert Edward McCulloch
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:
Book Synopsis An Empirical Test of Ross's Arbitrage Pricing Theory by : Robert Alan E. Pari
Download or read book An Empirical Test of Ross's Arbitrage Pricing Theory written by Robert Alan E. Pari and published by . This book was released on 1986 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Test of Ross's Arbitrage Pricing Theory by : Robert Alan E. Pari
Download or read book An Empirical Test of Ross's Arbitrage Pricing Theory written by Robert Alan E. Pari and published by . This book was released on 1986 with total page 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 Empirically Testing the Arbitrage Pricing Theory on Indian and U.S Stock Market by : Anand Naimpally
Download or read book Empirically Testing the Arbitrage Pricing Theory on Indian and U.S Stock Market written by Anand Naimpally and published by . This book was released on 1992 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Test of Ross's Arbitrage Pricing Theory by : Robert A. Pari
Download or read book An Empirical Test of Ross's Arbitrage Pricing Theory written by Robert A. Pari and published by . This book was released on 1984 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Some empirical tests of the arbitrage pricing model by : Krishnamurthy G. Hegde
Download or read book Some empirical tests of the arbitrage pricing model written by Krishnamurthy G. Hegde and published by . This book was released on 1983 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Arbitrage Pricing Theory by : Muhammad Mubeen
Download or read book Arbitrage Pricing Theory written by Muhammad Mubeen and published by . This book was released on 2015 with total page 7 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Equilibrium models have been widely studied in finance literature especially with respect to asset pricing theories. Validity of CAPM and Preference of APT over CAPM has been interest of academia as well as professionals. This research investigates number of potential factors explaining returns in Turkish markets as suggested by Ross (1980) when presented APT. For this purpose data of Istanbul Stock All exchanges from January 1, 2003 to December 31, 2013 has been used all the listed companies have been considered for this purpose. Our results suggest that in most of portfolios made for purpose of this research has two significant factors explaining returns although most of portfolios were having three orthogonal factors. It was rare that three factors were significantly explaining returns but it was not investigated that what are those factors.
Book Synopsis Empirical Testing of the Arbitrage Printing Theory on the Finnish Stock Market by : Ralf Östermark
Download or read book Empirical Testing of the Arbitrage Printing Theory on the Finnish Stock Market written by Ralf Östermark and published by . This book was released on 1987 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
