New Methods For The Arbitrage Pricing Theory And The Present Value Model
Seiten
1994
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-02-1839-3 (ISBN)
World Scientific Publishing Co Pte Ltd (Verlag)
978-981-02-1839-3 (ISBN)
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Presents two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time.
This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.
This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.
Abstract; do we have to know betas?; an autoregressive method for testing the APT; variable-expected returns and the present-value model - a panel study; application of the Newey-West matrix for correction of heteroskedasticity and cross-sectional correlation.
| Erscheint lt. Verlag | 1.10.1994 |
|---|---|
| Verlagsort | Singapore |
| Sprache | englisch |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| Wirtschaft ► Volkswirtschaftslehre | |
| ISBN-10 | 981-02-1839-7 / 9810218397 |
| ISBN-13 | 978-981-02-1839-3 / 9789810218393 |
| Zustand | Neuware |
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