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A Semiautoregression Approach to the Arbitrage Pricing Theory
16 references·1 citing·38 second hop
A Semiautoregression Approach to the Arbitrage Pricing Theory (1993)A Semiautoregression Approach to the Arbi…On the Estimation of Beta-Pricing Models (1992)On the Estimation of Beta-Pri…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Evidence of Predictable Behavior of Security Returns (1990)Evidence of Predictable Behav…Time-varying conditional covariances in tests of asset pricing models (1989)Time-varying conditional cova…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The empirical foundations of the arbitrage pricing theory (1988)The empirical foundations of …Risk and return in an equilibrium APT (1988)Risk and return in an equilib…Estimating Vector Autoregressions with Panel Data (1988)Estimating Vector Autoregress…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…An exploratory investigation of the firm size effect (1985)An exploratory investigation …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…A multibeta representation theorem for linear asset pricing theories (1997)A multibeta representation th…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)Expected Stock Returns and Variance Risk Premia (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Modeling the conditional distribution of interest rates as a regime-switching process (1996)Asymmetric correlations of equity portfolios (2002)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Biases in Dynamic Models with Fixed Effects (1981)The analysis of household surveys (1997)Finance, inequality and the poor (2007)How to do Xtabond2: An Introduction to Difference and System GMM in Stata (2007)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The relationship between return and market value of common stocks (1981)Illiquidity and stock returns: cross-section and time-series effects (2002)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying (2001)High idiosyncratic volatility and low returns: International and further U.S. evidence (2008)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)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Investor Psychology and Security Market Under‐ and Overreactions (1998)
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References

  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988Estimating Vector Autoregressions with Panel Data4,242 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1990Evidence of Predictable Behavior of Security Returns2,702 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1992On the Estimation of Beta-Pricing Models1,615 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1989Time-varying conditional covariances in tests of asset pricing models851 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1988Risk and return in an equilibrium APT535 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1988The empirical foundations of the arbitrage pricing theory

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  • 1997A multibeta representation theorem for linear asset pricing theories22 cited