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Arbitrage Pricing Models for two Scandinavian stock markets · Study

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ArticleArbitrage Pricing Models for two Scandinavian stock markets

Ralf Östermark1989

Article1989

Arbitrage Pricing Models for two Scandinavian stock markets

Ralf Östermark

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

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1973Risk, Return, and Equilibrium: Empirical Tests 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1973A Reliability Coefficient for Maximum Likelihood Factor Analysis 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.]1972Capital Market Equilibrium with Restricted Borrowing 1977

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1995Chapter 4 The arbitrage pricing theory and multifactor models of asset returnschapter · 19 shared references 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisonsarticle · 16 shared references 1993The Arbitrage Pricing Theory and Multifactor Models of Asset Returnspreprint · 16 shared references 1995Chapter 5 Theory and empirical testing of asset pricing modelschapter · 16 shared references 1985Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisonsreport · 15 shared references 2003Chapter 12 Tests of multifactor pricing models, volatility bounds and portfolio performancechapter · 15 shared references

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Year1989

Typearticle

Published1989-01-01

VenueOmega

ISSN-L0305-0483

Languageen

Citations17

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0305-0483(89)90040-6

openalex_workW2091291962

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A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory