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The Current State of the Arbitrage Pricing Theory
13 references·13 citing·29 second hop
The Current State of the Arbitrage Pricing Theory (1992)The Current State of the Arbitrage Pricin…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…Multivariate proxies and asset pricing relations (1987)Multivariate proxies and asse…Yes, The APT Is Testable (1985)Yes, The APT Is TestableMulti-Beta CAPM or Equilibrium-APT?: A Reply (1985)Multi-Beta CAPM or Equilibriu…Some Results in the Theory of Arbitrage Pricing (1984)Some Results in the Theory of…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…The relationship between return and market value of common stocks (1981)The relationship between retu…The arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Too Good to Be True: Look-Ahead Bias in Empirical Options Research (2026)Too Good to Be True: Look-Ahe…Financial Machine Learning (2023)Financial Machine LearningHave risk premia vanished? (2021)Have risk premia vanished?Factors and risk premia in individual international stock returns (2021)Factors and risk premia in in…Strategic Informed Trades, Diversification, and Expected Returns (2015)Strategic Informed Trades, Di…7. Multifactor Models Do Not Explain Deviations from the CAPM (2011)7. Multifactor Models Do Not …A Skeptical Appraisal of Asset-Pricing Tests (2006)A Skeptical Appraisal of Asse…Deriving the APT when the Number of Factors is Unknown (2000)Deriving the APT when the Num…Security factors as linear combinations of economic variables (1999)Security factors as linear co…Chapter 4 The arbitrage pricing theory and multifactor models of asset returns (1995)Chapter 4 The arbitrage prici…Multifactor Models Do Not Explain Deviations from the CAPM (1994)Multifactor Models Do Not Exp…The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)The Arbitrage Pricing Theory …Reference Variables, Factor Structure, and the Approximate Multibeta Representation (1992)Reference Variables, Factor S…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)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 New Approach to International Arbitrage Pricing (1993)Econometric Evaluation of Asset Pricing Models (1995)Testing for mean-variance spanning: a survey (2001)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)The Behavior of Stock-Market Prices (1965)On Persistence in Mutual Fund Performance (1997)Capital Market Equilibrium with Restricted Borrowing (1972)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)International Arbitrage Pricing Theory: An Empirical Investigation (1986)Price Regulation in Property‐Liability Insurance: A Contingent‐Claims Approach (1986)Editor's Choice Digesting Anomalies: An Investment ApproachValue versus Growth: The International Evidence (1998)Value and Momentum Everywhere (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

  • 1973Risk, Return, and Equilibrium: Empirical Tests14,248 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 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
  • 1982A simple approach to arbitrage pricing theory284 cited
  • 1982The Arbitrage Pricing Theory: Is it Testable?269 cited
  • 1987Multivariate proxies and asset pricing relations221 cited
  • 1984Some Results in the Theory of Arbitrage Pricing200 cited
  • 1985Yes, The APT Is Testable125 cited
  • 1985Multi-Beta CAPM or Equilibrium-APT?: A Reply113 cited

Cited by

  • 2006A Skeptical Appraisal of Asset-Pricing Tests101 cited
  • 1993The Arbitrage Pricing Theory and Multifactor Models of Asset Returns84 cited
  • 2011

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7. Multifactor Models Do Not Explain Deviations from the CAPM
75 cited
  • 2021Factors and risk premia in individual international stock returns72 cited
  • 2021Have risk premia vanished?49 cited
  • 1992Reference Variables, Factor Structure, and the Approximate Multibeta Representation44 cited
  • 1994Multifactor Models Do Not Explain Deviations from the CAPM42 cited
  • 2023Financial Machine Learning41 cited
  • 1999Security factors as linear combinations of economic variables30 cited
  • 2015Strategic Informed Trades, Diversification, and Expected Returns29 cited
  • 1995Chapter 4 The arbitrage pricing theory and multifactor models of asset returns29 cited
  • 2026Too Good to Be True: Look-Ahead Bias in Empirical Options Research25 cited
  • 2000Deriving the APT when the Number of Factors is Unknown25 cited