The empirical foundations of the arbitrage pricing theory

Keywords

Economics, Econometrics, Capital asset pricing model, Arbitrage, Arbitrage pricing theory

References

• Performance Measurement with the Arbitrage Pricing Theory: A New Framework for AnalysisGregory Connor, Robert A. Korajczyk — 1986
• The Empirical Foundations of the Arbitrage Pricing Theory Ii: the Optimal Construction of Basis PortfoliosBruce N. Lehmann, David M. Modest — 1985
• Multivariate proxies and asset pricing relations: Living with the Roll critiqueJay Shanken — 1987
• On the exclusion of assets from tests of the two-parameter model: A sensitivity analysisRobert F. Stambaugh — 1982
• Arbitrage and Mean-Variance Analysis on Large Asset MarketsGary Chamberlain, Michael Rothschild — 1981
• The effect of personal taxes and dividends on capital asset pricesRobert H. Litzenberger, Krishna Ramaswamy — 1979
• MULTIVARIATE TESTS OF FINANCIAL MODELS A New ApproachMichael R. Gibbons — 1982
• Multivariate tests of the zero-beta CAPMJay Shanken — 1985
• Some Empirical Tests of the Theory of Arbitrage PricingNai‐Fu Chen — 1983
• An empirical examination of the implications of arbitrage pricing theoryPhoebus J. Dhrymes, Irwin Friend, N. BULENT GULTEKIN — 1985
• FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING MODELSGary Chamberlain — 1983
• Nonsynchronous Data and the Covariance-Factor Structure of ReturnsJay Shanken — 1987
• Yes, The APT Is TestablePhilip H. Dybvig, Stephen A. Ross — 1985
• Stock Returns and Dividend Yields: Some More EvidenceMarshall E. Blume — 1980
• An explicit bound on individual assets' deviations from APT pricing in a finite economyPhilip H. Dybvig — 1983
• The arbitrage theory of capital asset pricingStephen A. Ross — 1976
• Exact Pricing in Linear Factor Models with Finitely Many Assets: A NoteNai‐Fu Chen, Jonathan E. Ingersoll — 1983
• A Critique of the Asset Pricing Theory''s Tests: Part IRichard Roll — 1977
• Factor pricing in a finite economyMark Grinblatt, Sheridan Titman — 1983
• Maximum likelihood from incomplete data via the EM - algorithm plus discussions on the paperA. P. Dempster, N. M. Laird, Donald B. Rubin — 1977

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• Tests for Differing Sensitivity Among Asset ReturnsScott Gilbert, Petr Zemčı́k — 2002
• Testing for Differences in Risk Exposure Among AssetsScott Gilbert, Petr Zemčı́k — 2001
• Tests of capital market integration/segmentation : the case of the European equity markets.Antonis Violaris — 1999
• Metody szacowania kosztu kapitału własnego : teoria a praktykaKatarzyna Byrka-Kita — 2008
• The effects of high dimensional covariance matrix estimation on asset pricing and generalized least squaresSoohyun Kim — 2010
• SYSTEMATIC RISK FACTORS IN AUSTRALIAN SECURITY PRICINGMazharul H. Kazi — 2004
• Mutual fund performance in emerging markets : the case of ThailandTeerapan Suppa-Aim — 2010
• Factores macroeconómicos en rendimientos accionarios chilenosRodrigo Fuentes S. M., Jorge Gregoire C., Salvador Zurita L. — 2017
• Investment Strategies Using Orthogonal PortfoliosHossein Asgharian, Björn Hansson — 2003
• Introduction to Asset Pricing and Portfolio Performance: Models, Strategy, and Performance MetricsRobert A. Korajczyk — 1999
• Finding the true performance of Australian managed fundsVictor Soucik — 2002
• On Modeling Banking RiskEfthymios G. Tsionas — 2014
• The use and usefulness of managed fund ratings in AustraliaPaul Gerrans — 2002
• The determinants of investing in the Pan-Asian markets: a multi-dimensional perspectiveAlina Maydybura — 2014
• Asset Pricing Theory and TestsRobert R. Grauer — 2003
• The Profitability Premium: Macroeconomic Risks or Expectation Errors?FY Eric C Lam, Shujing Wang, K.C. John Wei — 2016
• Specification testing in state-space models and its applications to financial dataMasaru Chiba, 横浜国立大学大学院国際社会科学研究科, チバ, マサル — 2008
• The effects of economic variables in the UK stock marketV. Leone — 2006
• ESSAYS ON EMPIRICAL ASSET PRICING USING BAYESIAN METHODSAlexandre Rubesam — 2009
• The effects of macroeconomic variables on Asian stock market volatility: A GARCH MIDAS approachDuc Hong Hoang — 2015

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