SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Approximate Factor Structures: Interpretations and Implications for Empirical Tests
10 references·1 citing·36 second hop
Approximate Factor Structures: Interpretations and Implications for Empirical Tests (1985)Approximate Factor Structures: Interpreta…The Relation Between Mean-Variance Efficiency and Arbitrage Pricing (1987)The Relation Between Mean-Var…Some Results in the Theory of Arbitrage Pricing (1984)Some Results in the Theory of…Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…Funds, Factors, and Diversification in Arbitrage Pricing Models (1983)Funds, Factors, and Diversifi…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1983)Arbitrage, Factor Structure, …The Arbitrage Pricing Theory: Is it Testable? (1982)The Arbitrage Pricing Theory:…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …A simple approach to arbitrage pricing theory (1982)A simple approach to arbitrag…A Multivariate Linear Regression Test for the Arbitrage Pricing Theory (1982)A Multivariate Linear Regress…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Chapter 4 The arbitrage pricing theory and multifactor models of asset returns (1995)Chapter 4 The arbitrage prici…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 (1965)Risk, Return, and Equilibrium: Empirical Tests (1973)Risk and Return in an Equilibrium APT (1987)The empirical foundations of the arbitrage pricing theory (1988)The January Anomaly: Effects of Low Share Price, Transaction Costs, and Bid-Ask Bias (1992)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)A spatio-temporal model of house prices in the USA (2010)Large panels with common factors and spatial correlation (2010)A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models (2011)Liquidity Preference as Behavior Towards Risk (1958)Portfolio Selection: Efficient Diversification of Investments (1959)An Intertemporal Capital Asset Pricing Model (1973)On correlations and inferences about mean-variance efficiency (1987)Are the Latent Variables in Time-Varying Expected Returns Compensation for Consumption Risk? (1990)Profitable predictability in the cross section of stock returns (2005)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)An Empirical Investigation of the Arbitrage Pricing Theory (1980)A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory (1984)The Pricing of Interest-Rate Risk: Evidence from the Stock Market (1986)Capital Market Equilibrium with Restricted Borrowing (1972)Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betas (1987)Arbitrage Pricing with Estimation Risk (1993)Factor Models, Machine Learning, and Asset Pricing (2022)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Explaining the Cross-Section of Returns via a Multi-Factor APT Model (1993)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)Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy (1989)Overconfidence, Arbitrage, and Equilibrium Asset Pricing (2001)International Stock Return Comovements (2005)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets1,097 cited
  • 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets975 cited
  • 1983Funds, Factors, and Diversification in Arbitrage Pricing Models496 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1982A simple approach to arbitrage pricing theory284 cited
  • 1982The Arbitrage Pricing Theory: Is it Testable?269 cited
  • 1984Some Results in the Theory of Arbitrage Pricing200 cited
  • 1987The Relation Between Mean-Variance Efficiency and Arbitrage Pricing157 cited
  • 1982A Multivariate Linear Regression Test for the Arbitrage Pricing Theory40 cited

Cited by

  • 1995Chapter 4 The arbitrage pricing theory and multifactor models of asset returns29 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work