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On the Number of Factors in the Arbitrage Pricing Model
11 references·16 citing·36 second hop
On the Number of Factors in the Arbitrage Pricing Model (1986)On the Number of Factors in the Arbitrage…Some Results in the Theory of Arbitrage Pricing (1984)Some Results in the Theory of…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, …A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm (1983)A New Approach to Testing Ass…Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets (1982)Arbitrage, Factor Structure, …An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Foundations of Finance. (1977)Foundations of Finance.The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Factor Analysis as a Statistical Method. (1973)Factor Analysis as a Statisti…Factor Analysis as a Statistical Method. (1972)Factor Analysis as a Statisti…What are the events that shake our world? Measuring and hedging global COVOL (2022)What are the events that shak…Factor models with local factors — Determining the number of relevant factors (2021)Factor models with local fact…Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry (2019)Macroeconomic factors explain…Golden hellos: Signing bonuses for new top executives (2016)Golden hellos: Signing bonuse…How common are common return factors across the NYSE and Nasdaq?☆ (2008)How common are common return …Explaining the single factor bias of arbitrage pricing models in finite samples (2007)Explaining the single factor …Portfolio management with heuristic optimization (2005)Portfolio management with heu…The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence (2003)The Interest Rate Risk Exposu…Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory (1998)Macroeconomic variables as co…Factors and Principal Components in the Near Spherical Case (1997)Factors and Principal Compone…The structure of international stock returns and the integration of capital markets (1995)The structure of internationa…Chapter 4 The arbitrage pricing theory and multifactor models of asset returns (1995)Chapter 4 The arbitrage prici…Integration or Segmentation of the Canadian Stock Market: Evidence Based on the APT (1994)Integration or Segmentation o…The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)The Arbitrage Pricing Theory …Using generic benchmarks to present manager styles (1991)Using generic benchmarks to p…Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors (1990)Sequential Tests of the Arbit…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)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)Modern Portfolio Theory and Investment Analysis. (1982)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)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)Capital Market Equilibrium with Restricted Borrowing (1972)An Intertemporal Capital Asset Pricing Model (1973)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)Inferential Theory for Factor Models of Large Dimensions (2003)Handbook on Constructing Composite Indicators (2005)Panel Data Models With Interactive Fixed Effects (2009)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)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models (1987)Panels with Nonstationary Multifactor Error Structures (2006)Exploring Alternative Measures of Welfare in the Absence of Expenditure Data (2003)Predicting behavioral intention of choosing a travel destination (2005)Tools for Composite Indicators Building (2005)
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References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1972Factor Analysis as a Statistical Method.1,471 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1977Foundations of Finance.1,128 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
  • 1973Factor Analysis as a Statistical Method.730 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory280 cited
  • 1984Some Results in the Theory of Arbitrage Pricing200 cited
  • 1983A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm160 cited

Cited by

  • 1995The structure of international stock returns and the integration of capital markets135 cited
  • 2005Portfolio management with heuristic optimization130 cited
  • 1998Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory95 cited
  • 2022What are the events that shake our world? Measuring and hedging global COVOL

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86 cited
  • 1993The Arbitrage Pricing Theory and Multifactor Models of Asset Returns84 cited
  • 2003The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence64 cited
  • 2021Factor models with local factors — Determining the number of relevant factors63 cited
  • 1990Sequential Tests of the Arbitrage Pricing Theory: A Comparison of Principal Components and Maximum Likelihood Factors52 cited
  • 2008How common are common return factors across the NYSE and Nasdaq?☆47 cited
  • 1991Using generic benchmarks to present manager styles36 cited
  • 1997Factors and Principal Components in the Near Spherical Case36 cited
  • 2019Macroeconomic factors explaining stock volatility: multi-country empirical evidence from the auto industry34 cited
  • 2007Explaining the single factor bias of arbitrage pricing models in finite samples34 cited
  • 2016Golden hellos: Signing bonuses for new top executives30 cited
  • 1995Chapter 4 The arbitrage pricing theory and multifactor models of asset returns29 cited
  • 1994Integration or Segmentation of the Canadian Stock Market: Evidence Based on the APT28 cited