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The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation* · Study

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ArticleThe Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation*

James L. Bicksler1983

Article1983

The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation*

James L. Bicksler · Edwin J. Elton · Martin J. Gruber · Joel C. Rentzler

34 citations·0/0 files stored·The Journal of Finance

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1976The arbitrage theory of capital asset pricing 1975THE 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.]1973An Intertemporal Capital Asset Pricing Model 1966Equilibrium in a Capital Asset Market 1980An Empirical Investigation of the Arbitrage Pricing Theory 1978A Simple Approach to the Valuation of Risky Streams 1975INFLATION AND SECURITY RETURNS*

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1993The Arbitrage Pricing Theory and Multifactor Models of Asset Returnspreprint · 7 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 7 shared references 1995Chapter 1 Portfolio theorychapter · 7 shared references 2000Determinanten erwarteter Renditen am deutschen Aktienmarkt — Eine empirische Untersuchung anhand ausgewählter Kennzahlenarticle · 7 shared references 1987Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betasarticle · 6 shared references 1988Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimatesarticle · 6 shared references

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Year1983

Typearticle

Published1983-05-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations34

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1111/j.1540-6261.1983.tb02261.x

openalex_workW2019949866

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