Download or read book An Empirical Examination of the Arbitrage Pricing Theory Using US Data written by A. C. S. Cheng and published by . This book was released on 1993 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
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:
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.
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:
Download or read book Empirical Dynamic Asset Pricing written by Kenneth J. Singleton and published by Princeton University Press. This book was released on 2009-12-13 with total page 497 pages. Available in PDF, EPUB and Kindle. Book excerpt: Written by one of the leading experts in the field, this book focuses on the interplay between model specification, data collection, and econometric testing of dynamic asset pricing models. The first several chapters provide an in-depth treatment of the econometric methods used in analyzing financial time-series models. The remainder explores the goodness-of-fit of preference-based and no-arbitrage models of equity returns and the term structure of interest rates; equity and fixed-income derivatives prices; and the prices of defaultable securities. Singleton addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well as the interplay between model formulation and the choice of econometric estimation strategy. For each pricing problem, he provides a comprehensive overview of the empirical evidence on goodness-of-fit, with tables and graphs that facilitate critical assessment of the current state of the relevant literatures. As an added feature, Singleton includes throughout the book interesting tidbits of new research. These range from empirical results (not reported elsewhere, or updated from Singleton's previous papers) to new observations about model specification and new econometric methods for testing models. Clear and comprehensive, the book will appeal to researchers at financial institutions as well as advanced students of economics and finance, mathematics, and science.
Download or read book Empirical Examination of the Arbitrage Pricing Theory written by Yasushi Hamao and published by . This book was released on 1988 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
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.
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:
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:
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:
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:
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:
Download or read book Arbitrage Pricing Theory written by Clark Darrell Robideaux and published by . This book was released on 1988 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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:
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:
