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Arbitrage Pricing Theory and Utility Stock Returns
9 references·16 citing·35 second hop
Arbitrage Pricing Theory and Utility Stock Returns (1984)Arbitrage Pricing Theory and Utility Stoc…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…The Arbitrage Pricing Theory: Is it Testable? (1982)The Arbitrage Pricing Theory:…The Arbitrage Pricing Theory: Some Empirical Results (1981)The Arbitrage Pricing Theory:…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Risk and return in finance (1977)Risk and return in financeThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Applied Economic Forecasting (1967)Applied Economic ForecastingArbitrage Pricing Theory (2018)Arbitrage Pricing TheoryDo economic factors influence stock returns? A firm and industry level analysis (2010)Do economic factors influence…Alternative measures of the Federal Reserve Banks’ cost of equity capital (2005)Alternative measures of the F…The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence (2003)The Interest Rate Risk Exposu…Risk and return: CAPM and CCAPM (2003)Risk and return: CAPM and CCA…Price discovery in the Hong Kong real estate market (2001)Price discovery in the Hong K…Assessing the Financial Performance of Forestry‐Related Investment Vehicles: Capital Asset Pricing Model vs. Arbitrage Pricing Theory (2001)Assessing the Financial Perfo…Regulation, Profit Variability and Beta (1999)Regulation, Profit Variabilit…Macroeconomic Variables, Firm-Specific Variables and Returns to REITs (1998)Macroeconomic Variables, Firm…Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors (1997)Real Estate and the Arbitrage…Pricing Interest-Rate Risk for Mortgage REITs (1995)Pricing Interest-Rate Risk fo…Chapter 4 The arbitrage pricing theory and multifactor models of asset returns (1995)Chapter 4 The arbitrage prici…The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (1993)The Arbitrage Pricing Theory …Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors (1993)Some empirical tests in the a…Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets (1988)Arbitrage Pricing, Capital As…An application of arbitrage pricing theory to futures markets: Tests of normal backwardation (1987)An application of arbitrage p…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)Economic Forces and the Stock Market (1986)The Stability of the Relation between the Stock Market and Macroeconomic Forces (2002)European stock market integration: Fact or fiction? (2009)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)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Factor pricing in a finite economy (1983)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates (1988)International Arbitrage Pricing Theory (1983)Changes in Expected Security Returns, Risk, and the Level of Interest Rates (1989)Extreme Correlation of International Equity Markets (2001)Forecasting Volatility in Financial Markets: A Review (2003)Introductory Econometrics for Finance (2008)
this work references cited by second hop

References

  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1967Applied Economic Forecasting1,206 cited
  • 1983Some Empirical Tests of the Theory of Arbitrage Pricing376 cited
  • 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory280 cited
  • 1982The Arbitrage Pricing Theory: Is it Testable?269 cited
  • 1977Risk and return in finance265 cited
  • 1984Some Results in the Theory of Arbitrage Pricing200 cited
  • 1981The Arbitrage Pricing Theory: Some Empirical Results178 cited

Cited by

  • 1993Some empirical tests in the arbitrage pricing theory: Macro variables vs. derived factors86 cited
  • 1993The Arbitrage Pricing Theory and Multifactor Models of Asset Returns84 cited
  • 2001Price discovery in the Hong Kong real estate market76 cited
  • 1998Macroeconomic Variables, Firm-Specific Variables and Returns to REITs75 cited
  • 2001Assessing the Financial Performance of Forestry‐Related Investment Vehicles: Capital Asset Pricing Model vs. Arbitrage Pricing Theory72 cited
  • 1997Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors

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65 cited
  • 2003The Interest Rate Risk Exposure of Financial Intermediaries: A Review of the Theory and Empirical Evidence64 cited
  • 2003Risk and return: CAPM and CCAPM54 cited
  • 2018Arbitrage Pricing Theory44 cited
  • 2010Do economic factors influence stock returns? A firm and industry level analysis41 cited
  • 1988Arbitrage Pricing, Capital Asset Pricing, and Agricultural Assets39 cited
  • 2005Alternative measures of the Federal Reserve Banks’ cost of equity capital37 cited
  • 1995Pricing Interest-Rate Risk for Mortgage REITs36 cited
  • 1999Regulation, Profit Variability and Beta32 cited
  • 1995Chapter 4 The arbitrage pricing theory and multifactor models of asset returns29 cited
  • 1987An application of arbitrage pricing theory to futures markets: Tests of normal backwardation29 cited