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New Tests of the APT and Their Implications
3 references·5 citing·24 second hop
New Tests of the APT and Their Implications (1985)New Tests of the APT and Their Implicatio…A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply (1984)A Critical Reexamination of t…A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory (1984)A Critical Reexamination of t…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration (2009)Methodologies for Isolating a…Risk factors in the Malaysian stock market (1998)Risk factors in the Malaysian…Integration or Segmentation of the Canadian Stock Market: Evidence Based on the APT (1994)Integration or Segmentation o…The Seasonal Stability of the Factor Structure of Stock Returns (1987)The Seasonal Stability of the…Stock Return Anomalies and the Tests of the APT (1987)Stock Return Anomalies and th…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)The determinants of stock returns in a small open economy (2003)The arbitrage theory of capital asset pricing (1976)Economic Forces and the Stock Market (1986)On the Estimation of Beta-Pricing Models (1992)The relationship between return and market value of common stocks (1981)Size-related anomalies and stock return seasonality (1983)Bid‐ask spreads in financial futures (1992)Modern Portfolio Theory and Investment Analysis. (1982)International Arbitrage Pricing Theory: An Empirical Investigation (1986)Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach (1986)Multivariate proxies and asset pricing relations (1987)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)Time-Varying Return and Risk in the Corporate Bond Market (1990)Security price anomalies in an emerging market: the case of the Athens Stock Exchange (2000)Risk and the January effect (2009)Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory (1990)A bayesian approach to testing the arbitrage pricing theory (1991)The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)
this work references cited by second hop

References

  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory280 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply86 cited

Cited by

  • 1987Stock Return Anomalies and the Tests of the APT68 cited
  • 1998Risk factors in the Malaysian stock market39 cited
  • 1987The Seasonal Stability of the Factor Structure of Stock Returns37 cited
  • 2009Methodologies for Isolating and Assessing the Portfolio Performance Potential of Stock Return Forecast Models with an Illustration28 cited
  • 1994Integration or Segmentation of the Canadian Stock Market: Evidence Based on the APT28 cited

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