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Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates
16 references·16 citing·24 second hopsampled
Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates (1988)Arbitrage Pricing Theory as a Restricted …American Economic Review (2019)American Economic ReviewEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…An Intertemporal General Equilibrium Model of Asset Prices (1985)An Intertemporal General Equi…An exploratory investigation of the firm size effect (1985)An exploratory investigation …Multivariate tests of financial models (1982)Multivariate tests of financi…On estimating the expected return on the market (1980)On estimating the expected re…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…The capital asset pricing model: Some empirical tests (1972)The capital asset pricing mod…Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)Best Linear Unbiased Interpol…Maximum likelihood estimation of a complete system of demand equations (1969)Maximum likelihood estimation…The COVID-19 storm and the energy sector: The impact and role of uncertainty (2021)The COVID-19 storm and the en…Interest rate risk of German financial institutions: the impact of level, slope, and curvature of the term structure (2009)Interest rate risk of German …Economic forces and the stock market revisited (2006)Economic forces and the stock…Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market (2005)Macroeconomic factors and the…The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence (2003)The Interest Rate Risk Exposu…Exchange Rate Exposure at the Firm and Industry Level (2003)Exchange Rate Exposure at the…Market Segmentation on the Johannesburg Stock Exchange II (2002)Market Segmentation on the Jo…Time-varying market, interest rate, and exchange rate risk premia in the US commercial bank stock returns (2000)Time-varying market, interest…The pricing of currency risk in Japan (1999)The pricing of currency risk …Reports of beta's death are premature: Evidence from the UK (1998)Reports of beta's death are p…Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory (1998)Macroeconomic variables as co…Is Foreign Exchange Risk Priced in the Japanese Stock Market? (1998)Is Foreign Exchange Risk Pric…A Reexamination of Firm Size, Book-To-Market, and Earnings Price in the Cross-Section of Expected Stock Returns (1997)A Reexamination of Firm Size,…The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)The Arbitrage Pricing Theory …Oil shocks and oil stocks: evidence from the 1970s (1993)Oil shocks and oil stocks: ev…The attributes, behavior, and performance of U.S. mutual funds (1991)The attributes, behavior, and…Portfolio Selection: Efficient Diversification of Investments (1959)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**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)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)The Pricing of Options and Corporate Liabilities (1973)Asset Prices in an Exchange Economy (1978)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Efficient Capital Markets: II (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Financial Intermediation and Delegated Monitoring (1984)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Behavior of Stock-Market Prices (1965)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)Industry costs of equity (1997)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Upper Echelons: The Organization as a Reflection of Its Top Managers (1984)The Relational View: Cooperative Strategy and Sources of Interorganizational Competitive Advantage (1998)The Promise of Entrepreneurship as a Field of Research (2000)
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References

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 2019American Economic Review10,902 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1980On estimating the expected return on the market2,818 cited
  • 1972The capital asset pricing model: Some empirical tests2,705 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series1,192 cited
  • 1969Maximum likelihood estimation of a complete system of demand equations921 cited
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1982Multivariate tests of financial models614 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1985

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Multivariate tests of the zero-beta CAPM
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  • 2005Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market60 cited
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  • 1998Reports of beta's death are premature: Evidence from the UK58 cited
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