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Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors
16 references·8 citing·37 second hop
Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors (1993)Some empirical tests in the arbitrage pri…The empirical foundations of the arbitrage pricing theory (1988)The empirical foundations of …Economic Forces and the Stock Market (1986)Economic Forces and the Stock…An exploratory investigation of the firm size effect (1985)An exploratory investigation …Arbitrage Pricing Theory and Utility Stock Returns (1984)Arbitrage Pricing Theory and …A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory (1984)A Critical Reexamination of t…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…A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm (1983)A New Approach to Testing Ass…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Risk and return in finance (1977)Risk and return in financeINDUSTRY MOVEMENTS OF COMMON STOCKS (1977)INDUSTRY MOVEMENTS OF COMMON …The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Applied Economic Forecasting (1967)Applied Economic ForecastingApplied Economic Forecasting (1967)Applied Economic ForecastingMarket and Industry Factors in Stock Price Behavior (1966)Market and Industry Factors i…Testing the relation between beta and returns in the Athens stock exchange (2010)Testing the relation between …European stock market integration: Fact or fiction? (2009)European stock market integra…Regulatory changes and market liquidity in Chinese stock markets (2006)Regulatory changes and market…Fundamental share prices and aggregate real output (2004)Fundamental share prices and …The determinants of stock returns in a small open economy (2003)The determinants of stock ret…The Stability of the Relation between the Stock Market and Macroeconomic Forces (2002)The Stability of the Relation…Macroeconomic Factors and International Industry Returns (2001)Macroeconomic Factors and Int…Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors (1997)Real Estate and the Arbitrage…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 January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)An Intertemporal Capital Asset Pricing Model (1973)Risk and return in an equilibrium APT (1988)New evidence on oil price and firm returns (2011)Does realized skewness predict the cross-section of equity returns? (2015)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)The Behavior of Stock-Market Prices (1965)Diversification, Ricardian Rents, and Tobin's q (1988)The Event Study Methodology Since 1969 (1998)Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)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)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Sources of risk and expected returns in global equity markets (1994)Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? (1995)Large Dimensional Factor Analysis (2008)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)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)Industry costs of equity (1997)On Persistence in Mutual Fund Performance (1997)Extreme Correlation of International Equity Markets (2001)Forecasting Volatility in Financial Markets: A Review (2003)Introductory Econometrics for Finance (2008)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1967Applied Economic Forecasting1,206 cited
  • 1966Market and Industry Factors in Stock Price Behavior838 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1984A comparison of inflation forecasts380 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1988The empirical foundations of the arbitrage pricing theory366 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory280 cited
  • 1967Applied Economic Forecasting280 cited
  • 1977Risk and return in finance265 cited
  • 1983A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm160 cited
  • 1984Arbitrage Pricing Theory and Utility Stock Returns111 cited
  • 1977INDUSTRY MOVEMENTS OF COMMON STOCKS97 cited

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Cited by

  • 2002The Stability of the Relation between the Stock Market and Macroeconomic Forces81 cited
  • 1997Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors65 cited
  • 2009European stock market integration: Fact or fiction?45 cited
  • 2010Testing the relation between beta and returns in the Athens stock exchange36 cited
  • 2003The determinants of stock returns in a small open economy36 cited
  • 2001Macroeconomic Factors and International Industry Returns29 cited
  • 2006Regulatory changes and market liquidity in Chinese stock markets27 cited
  • 2004Fundamental share prices and aggregate real output27 cited