Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis
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- Type
- article
- Published
- 1986-03-01
- Cited by
- 776
- References
- 26
- OpenAlex
- https://openalex.org/W1490018140
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:54620410
Keywords
Treynor ratio, Estimator, Index arbitrage, Arbitrage pricing theory, Arbitrage
References
- An empirical investigation into arbitrage and approximate K-factor structure on large asset markets
- Capital Asset Pricing in International Finance: Discussion
- AMBIGUITY WHEN PERFORMANCE IS MEASURED BY THE SECURITIES MARKET LINE
- Some Empirical Tests of the Theory of Arbitrage Pricing
- FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING MODELS
- How to Use Security Analysis to Improve Portfolio Selection
- The arbitrage theory of capital asset pricing
- Market Timing and Mutual Fund Investment Performance
- The Market-Timing Performance of Mutual Fund Managers
- Measuring Investment Performance in a Rational Expectations Equilibrium Model
- Market Timing and Mutual Fund Performance: An Empirical Investigation
- A heteroscedasticity-consistent covariance matrix estimator for time series regressions
- A Unified Beta Pricing Theory
- The Theory of Linear Models and Multivariate Analysis
- A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory
- The Performance of Mutual Funds in the Period 1945-1964
- Introduction to matrix computations
- A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply
- The Arbitrage Pricing Theory: Is It Testable?
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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- Intertemporal Variation in the Performance of Hedge Funds Employing a Contingent-Claim-Based Benchmark
- Asymptotics for Panel Models with Common Shocks - Extended Version
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- Optimal Portfolio Rules and Maximum Gains from Economic Events
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- Modelowanie równowagi na rynku kapitałowym - weryfikacja empiryczna na przykładzie akcji notowanych na Giełdzie Papierów Wartościowych w Warszawie
- Essays on asset pricing using option-implied information
- Essays on Factor Models, Application to the Energy Markets
- Performance evaluation of the UK equity unit trusts : does active management add value?
- The effects of high dimensional covariance matrix estimation on asset pricing and generalized least squares
- SYSTEMATIC RISK FACTORS IN AUSTRALIAN SECURITY PRICING
- The Effect of Analysts' Forecasts on Stock Market Returns: A Composite Multifactor Approach
- Introduction to Asset Pricing and Portfolio Performance: Models, Strategy, and Performance Metrics
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