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A unified beta pricing theory · Study

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ArticleA unified beta pricing theory

Gregory Connor1984

Article1984

A unified beta pricing theory

319 citations·0/0 files stored·Journal of Economic Theory

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

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1976The arbitrage theory of capital asset pricing 1980An Empirical Investigation of the Arbitrage Pricing Theory 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1974The Computation of Economic Equilibria.1983A characterization of the distributions that imply mean—Variance utility functions 1978Mutual fund separation in financial theory—The separating distributions

Cited by

2007Lazy Investors, Discretionary Consumption, and the Cross‐Section of Stock Returns 2016Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets 1993No Arbitrage and Arbitrage Pricing: A New Approach 1992Asset Pricing Explorations for Macroeconomics 1994A contingent claim approach to performance evaluation 1987Multivariate proxies and asset pricing relations

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2009The econometrics of mean‐variance efficiency tests: a surveyarticle · 6 shared references 1987Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisonsarticle · 5 shared references 1996Measuring the Pricing Error of the Arbitrage Pricing Theoryarticle · 5 shared references 1984Some Results in the Theory of Arbitrage Pricingarticle · 5 shared references 1987Tests of Asset Pricing with Time-Varying Expected Risk Premiums and Market Betasarticle · 5 shared references 1985Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisonsreport · 5 shared references

Details

Year1984

Typearticle

Published1984-10-01

VenueJournal of Economic Theory

ISSN-L0022-0531

Languageen

Citations319

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/0022-0531(84)90159-5

openalex_workW2102277992

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1987Mimicking Portfolios and Exact Arbitrage Pricing

1989An Empirical Investigation of International Asset Pricing