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The empirical foundations of the arbitrage pricing theory · Study

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ArticleThe empirical foundations of the arbitrage pricing theory

Bruce N. Lehmann1988

Article1988

The empirical foundations of the arbitrage pricing theory

Bruce N. Lehmann · David M. Modest

366 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1976The arbitrage theory of capital asset pricing 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1972The capital asset pricing model: Some empirical tests 1989A Test of the Efficiency of a Given Portfolio 1980An Empirical Investigation of the Arbitrage Pricing Theory 1979The effect of personal taxes and dividends on capital asset prices 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

Cited by

2008Large Dimensional Factor Analysis 1995Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?1994Sources of risk and expected returns in global equity markets 1991Using Generalized Method of Moments to Test Mean-Variance Efficiency 1999Conditioning Variables and the Cross-Section of Stock Returns 20118. Data-Snooping Biases in Tests of Financial Asset Pricing Models

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1989An Empirical Investigation of International Asset Pricingarticle · 14 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 13 shared references 2010The Analysis of the Cross-Section of Security Returnschapter · 12 shared references 2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performancereport · 12 shared references 2009The econometrics of mean‐variance efficiency tests: a surveyarticle · 12 shared references 1987Mimicking Portfolios and Exact Arbitrage Pricingarticle · 10 shared references

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Year1988

Typearticle

Published1988-09-01

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations366

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0304-405x(88)90061-x

openalex_workW2012485912

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1993No Arbitrage and Arbitrage Pricing: A New Approach

2004Liquidity risk, leverage and long-run IPO returns