SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory
13 references·16 citing·40 second hop
Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory (1988)Joint Estimation of Factor Sensitivities …Theory of Financial Decision Making. (1988)Theory of Financial Decision …Mimicking Portfolios and Exact Arbitrage Pricing (1987)Mimicking Portfolios and Exac…Mean-Variance Spanning (1987)Mean-Variance SpanningEconomic Forces and the Stock Market (1986)Economic Forces and the Stock…Multivariate tests of the zero-beta CAPM (1985)Multivariate tests of the zer…An exploratory investigation of the firm size effect (1985)An exploratory investigation …Some Empirical Tests of the Theory of Arbitrage Pricing (1983)Some Empirical Tests of the T…A Random Walk, Markov Model for the Distribution of Time Series (1983)A Random Walk, Markov Model f…Potential performance and tests of portfolio efficiency (1982)Potential performance and tes…Multivariate tests of financial models (1982)Multivariate tests of financi…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Specification Tests in Econometrics (1978)Specification Tests in Econom…Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series (1971)Best Linear Unbiased Interpol…The COVID-19 storm and the energy sector: The impact and role of uncertainty (2021)The COVID-19 storm and the en…Stock returns and interest rates around the World: A panel data approach (2016)Stock returns and interest ra…Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors (2010)Oil shocks and stock returns:…Non-linear predictability in stock and bond returns: When and where is it exploitable? (2009)Non-linear predictability in …Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market (2005)Macroeconomic factors and the…Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance (2003)Tests of Multifactor Pricing …Reports of beta's death are premature: Evidence from the UK (1998)Reports of beta's death are p…Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory (1998)Macroeconomic variables as co…Economic News and the Yield Curve: Evidence from the U.S. Treasury Market (1998)Economic News and the Yield C…Economic Risk Factors and Commercial Real Estate Returns (1997)Economic Risk Factors and Com…The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes (1996)The arbitrage pricing theory,…MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET (1994)MACROECONOMIC FACTORS, THE AP…The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)The Arbitrage Pricing Theory …MACROECONOMIC FACTORS AND THE UK STOCK MARKET (1991)MACROECONOMIC FACTORS AND THE…Stable Factors in Security Returns: Identification Using Cross-Validation (1988)Stable Factors in Security Re…Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates (1988)Arbitrage Pricing Theory as a…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)Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in Financial Data (1989)The Pricing of Exchange Rate Risk in the Stock Market (1991)Political Risk, Economic Risk, and Financial Risk (1996)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Size-related anomalies and stock return seasonality (1983)On the Cross-Sectional Relation between Expected Returns and Betas (1994)Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying (2000)The specification of conditional expectations (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)Risk and return in an equilibrium APT (1988)New evidence on oil price and firm returns (2011)Does realized skewness predict the cross-section of equity returns? (2015)On the Pooling of Time Series and Cross Section Data (1978)Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations (1991)Econometric Analysis of Cross Section and Panel Data (2001)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)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)Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and conditional projection using realistic prior distributions (1984)Systematic Monetary Policy and the Effects of Oil Price Shocks (1997)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Industry costs of equity (1997)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)Diversification, Integration and Emerging Market Closed‐End Funds (1996)Can the Gains from International Diversification Be Achieved without Trading Abroad? (1999)
this work references cited by second hop

References

  • 1978Specification Tests in Econometrics18,788 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series1,192 cited
  • 1982Multivariate tests of financial models614 cited
  • 1987Mean-Variance Spanning590 cited
  • 1985An exploratory investigation of the firm size effect516 cited
  • 1985Multivariate tests of the zero-beta CAPM436 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1983A Random Walk, Markov Model for the Distribution of Time Series289 cited
  • 1982Potential performance and tests of portfolio efficiency266 cited
  • 1987Mimicking Portfolios and Exact Arbitrage Pricing215 cited

Cited by

  • 1991MACROECONOMIC FACTORS AND THE UK STOCK MARKET147 cited
  • 1988Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates144 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1994MACROECONOMIC FACTORS, THE APT AND THE UK STOCKMARKET125 cited
  • 2021The COVID-19 storm and the energy sector: The impact and role of uncertainty110 cited
  • 1998Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory95 cited
  • 1996The arbitrage pricing theory, macroeconomic and financial factors, and expectations generating processes95 cited
  • 2010Oil shocks and stock returns: The case of the Central and Eastern European (CEE) oil and gas sectors86 cited
  • 1998Economic News and the Yield Curve: Evidence from the U.S. Treasury Market84 cited
  • 1993The Arbitrage Pricing Theory and Multifactor Models of Asset Returns84 cited
  • 1997Economic Risk Factors and Commercial Real Estate Returns77 cited
  • 2009Non-linear predictability in stock and bond returns: When and where is it exploitable?71 cited
  • 2016Stock returns and interest rates around the World: A panel data approach64 cited
  • 1988Stable Factors in Security Returns: Identification Using Cross-Validation64 cited
  • 2005Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market60 cited
  • 2003Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance60 cited
  • 1998Reports of beta's death are premature: Evidence from the UK58 cited