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An Empirical Test of the Arbitrage Pricing Theory on Australian Stock Returns 1974‐85
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An Empirical Test of the Arbitrage Pricing Theory on Australian Stock Returns 1974‐85 (1988)An Empirical Test of the Arbitrage Pricin…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory (1984)A Critical Reexamination of t…Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…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:…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…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…Alternative procedures and associated tests of significance for non-nested hypotheses (1981)Alternative procedures and as…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Risk measurement when shares are subject to infrequent trading (1979)Risk measurement when shares …A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)A critique of the asset prici…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Studies in the Theory of Capital Markets. (1973)Studies in the Theory of Capi…Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk (1973)Evidence on the Information C…Investment, Interest and Capital. (1970)Investment, Interest and Capi…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)An Empirical Evaluation of Accounting Income Numbers (1968)Using daily stock returns (1985)The Cross-Section of Expected Stock Returns (1992)R2 around the world: New theory and new tests☆ (2005)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)Financial Intermediation and Delegated Monitoring (1984)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)Industry costs of equity (1997)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)Multivariate tests of financial models (1982)Mean-Variance Spanning (1987)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The relationship between return and market value of common stocks (1981)Efficient Capital Markets: II (1991)Multifactor Explanations of Asset Pricing Anomalies (1996)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)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)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1982Modern Portfolio Theory and Investment Analysis.3,012 cited
  • 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory3,006 cited
  • 1979Risk measurement when shares are subject to infrequent trading2,767 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 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
  • 1973Studies in the Theory of Capital Markets.908 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1982A simple approach to arbitrage pricing theory284 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory280 cited
  • 1982The Arbitrage Pricing Theory: Is it Testable?269 cited
  • 1973Evidence on the Information Content of Accounting Numbers: Accounting-Based and Market-Based Estimates of Systematic Risk243 cited
  • 1981Alternative procedures and associated tests of significance for non-nested hypotheses

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237 cited
  • 1970Investment, Interest and Capital.228 cited
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