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An empirical examination of the Arbitrage Pricing Theory
5 references·16 citing·44 second hopsampled
An empirical examination of the Arbitrage Pricing Theory (1988)An empirical examination of the Arbitrage…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A comparison of inflation forecasts (1984)A comparison of inflation for…Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018)Oil Prices and Stock Markets:…Oil price shocks and industry stock returns (2011)Oil price shocks and industry…Oil price shocks and European industries (2011)Oil price shocks and European…Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries (2011)Oil price movements and stock…Jump dynamics and volatility: Oil and the stock markets (2009)Jump dynamics and volatility:…Spillover effect of US dollar exchange rate on oil prices (2008)Spillover effect of US dollar…Macroeconomic variables and the Malaysian equity market (2003)Macroeconomic variables and t…Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries (2002)Stock market and macroeconomi…Oil price risk and the Australian stock market (1999)Oil price risk and the Austra…Causal relations among stock returns and macroeconomic variables in a small, open economy (1999)Causal relations among stock …Relationship between Labor‐Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market (1998)Relationship between Labor‐In…Fundamental determinants of national equity market returns: A perspective on conditional asset pricing (1997)Fundamental determinants of n…MACROECONOMIC FACTORS AND THE UK STOCK MARKET (1991)MACROECONOMIC FACTORS AND THE…Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets (1989)Capital Controls and Internat…An Empirical Investigation of International Asset Pricing (1989)An Empirical Investigation of…Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas (1987)Tests of Asset Pricing with T…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Risk and Return in an Equilibrium APT (1987)The empirical foundations of the arbitrage pricing theory (1988)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? (2010)PENGARUH INFLASI, SUKU BUNGA, KURS, DAN PERTUMBUHAN PDB TERHADAP INDEKS HARGA SAHAM GABUNGAN (2012)Impact of Macroeconomic Variables on Stock Markets: Evidence from Emerging Markets (2015)An Intertemporal Capital Asset Pricing Model (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)The arbitrage theory of capital asset pricing (1976)Industry costs of equity (1997)Foundations of Finance. (1977)Time Series Analysis: Forecasting and Control (1977)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)The Pricing of Exchange Rate Risk in the Stock Market (1991)Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets (1992)Presidential Address: Expected Return, Realized Return, and Asset Pricing Tests (1999)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)How does oil price volatility affect non-energy commodity markets? (2011)A wavelet decomposition approach to crude oil price and exchange rate dependence (2013)The Great Plunge in Oil Prices: Causes, Consequences, and Policy Responses (2015)Common risk factors in the returns on stocks and bonds (1993)Has oil price predicted stock returns for over a century? (2014)Oil price shocks and stock market returns: New evidence from the United States and China (2014)Oil volatility, oil and gas firms and portfolio diversification (2018)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)On Persistence in Mutual Fund Performance (1997)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Discretion versus policy rules in practice (1993)Dynamic Conditional Correlation (2002)Oil price shocks, global financial markets and their connectedness (2020)Time and frequency connectedness among oil shocks, electricity and clean energy markets (2020)Oil shocks and BRIC markets: Evidence from extreme quantile approach (2022)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited

Cited by

  • 2002Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries400 cited
  • 1999Oil price risk and the Australian stock market391 cited
  • 2008Spillover effect of US dollar exchange rate on oil prices368 cited
  • 2011Oil price shocks and industry stock returns364 cited
  • 2018Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence297 cited
  • 1999Causal relations among stock returns and macroeconomic variables in a small, open economy289 cited
  • 2011Oil price movements and stock market returns: Evidence from Gulf Cooperation Council (GCC) countries283 cited
  • 2003Macroeconomic variables and the Malaysian equity market248 cited
  • 1989An Empirical Investigation of International Asset Pricing212 cited
  • 1989Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets

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212 cited
  • 1987Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas188 cited
  • 2009Jump dynamics and volatility: Oil and the stock markets184 cited
  • 2011Oil price shocks and European industries173 cited
  • 1997Fundamental determinants of national equity market returns: A perspective on conditional asset pricing165 cited
  • 1991MACROECONOMIC FACTORS AND THE UK STOCK MARKET147 cited
  • 1998Relationship between Labor‐Income Risk and Average Return: Empirical Evidence from the Japanese Stock Market145 cited