The arbitrage theory of capital asset pricing

Ross, Stephen A.

doi:10.1016/0022-0531(76)90046-6

Cited by 5,368 publications

(2,289 citation statements)

References 6 publications

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“…Such factors can be motivated by international versions of the Ross (1976) Arbitrage Pricing Model (e.g. Ross and Walsh, 1983) or the Merton (1973) intertemporal asset pricing model.…”

Section: Global Risk Factorsmentioning

confidence: 99%

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Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Ferson

Harvey

1996

SSRN Journal

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This paper provides a global asset pricing perspective on the debate over the relation between predetermined attributes of common stocks, such as ratios of price-to-bookvalue, cash-¯ow, earnings, and other variables to the future returns. Some argue that such variables may be used to ®nd securities that are systematically undervalued by the market, while others argue that the measures are proxies for exposure to underlying economic risk factors. It is not possible to distinguish between these views without explicitly modelling the relation between such attributes and risk factors. We present an empirical framework for attacking the problem at a global level, assuming integrated markets. Our perspective pulls together the traditional academic and practitioner viewpoints on lagged attributes. We present new evidence on the relative importance of risk and mispricing e ects, using monthly data for 21 national equity markets. We ®nd that the cross-sectional explanatory power of the lagged attributes is related to both risk and mispricing in the two-factor model, but the risk e ects explain more of the variance than mispricing. Ó 1998 Elsevier Science B.V. All rights reserved. 0378-4266/97/$17.00 Ó 1997 Elsevier Science B.V. All rights reserved. PII S 0 3 7 8 -4 2 6 6 ( 9 7 ) 0 0 0 4 4 -7

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“…Such factors can be motivated by international versions of the Ross (1976) Arbitrage Pricing Model (e.g. Ross and Walsh, 1983) or the Merton (1973) intertemporal asset pricing model.…”

Section: Global Risk Factorsmentioning

confidence: 99%

“…Traditionally, when academics think of factor models they have in mind time-series regressions of returns on economic factors or mimicking portfolios, as in the factor model regressions associated with the arbitrage pricing theory (APT) (Ross, 1976;Ross and Walsh, 1983). In this context the``factors'' refer to economy-wide risk variables.…”

Section: Introductionmentioning

confidence: 99%

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Ferson

Harvey

1996

SSRN Journal

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“…A interpretação estatística deste return-based SDF é a de que todo ativo financeiro contém um "pedaço" do SDF, de forma que ao se combinar um painel suficientemente grande de ativos ao longo do tempo, elimina-se os componentes idiossincráticos, em um raciocínio análogo ao desenvolvido no APT de Ross (1976), restando um único componente ou fator de risco comum, o SDF.…”

Section: O Fator Estocástico De Descontounclassified

Previsão do câmbio real-dólar sob um arcabouço de apreçamento de ativos

Matos¹,

Beviláqua²,

Filho³

2012

Rev. Bras. Econ.

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Este artigo estima via componentes principais uma série temporal para o Fator Estocástico de Desconto contendo informações sobre os retornos de fundos cambiais e de renda fixa operando no Brasil, visando utilizá-lo na modelagem do câmbio nominal mensal Real Brasileiro/Dólar Americano através de um Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M) bivariado. Este exercício empírico baseado na teoria de apreçamento de ativos segue metodologicamente Chong et alii (2002) e Da Costa et alii (2010), sendo possível evidenciar um erro de previsão de 5,27% para depreciação cambial e um acerto do sinal da variação cambial em 57,5% dos meses, durante o período de janeiro de 2000 a dezembro de 2009. Estes resultados sugerem à literatura que não se deve desprezar a variação temporal dos momentos condicionais de segunda ordem.
We use principal components to extract a time series for the Stochastic Discount Factor based on returns on Brazilian mutual funds that invest in fixed-income securities and foreign currency. This factor is then used to model the Brazilian Real/American Dolar Exchange rate using a Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M). Our empirical exercise based on asset pricing theory follows the methodology used in Chong, Chung and Ahmad (2002) and Da Costa et alii (2010). Our foreign currency depreciation forecasting error is 5,27% and we are able to say the correct variation sign in 57,5% of the time, during the January 2000 -December 2009 period. These results suggest to the literature that one should not omit the time varying second order conditional moments

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“…With multiple benchmark portfolios, the question becomes whether some linear combination of them is efficient. The mean-variance efficiency hypothesis is a testable implication of the validity of linear factor asset pricing models, such as the capital asset pricing model (CAPM) of Sharpe (1964) and Lintner (1965), or more generally of the arbitrage pricing theory of Ross (1976); see Sentana (2009) for a survey of the econometrics of mean-variance efficiency tests.…”

Section: Introductionmentioning

confidence: 99%

Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

Gungor

Luger

2016

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in RésuméNous proposons des méthodes de bootstrap double pour tester l'hypothèse d'efficience moyenne-variance lorsque plusieurs groupes de portefeuilles d'actifs à tester sont examinés conjointement plutôt qu'individuellement. Il ne sera peut-être pas possible de tester directement l'hypothèse nulle conjointe au moyen de méthodes conventionnelles à partir du moment où il y a un nombre élevé d'actifs à tester par rapport au nombre de séries chronologiques disponibles, étant donné que l'estimation de la matrice de covariance des perturbations en vient ultimement à être singulière. Les procédures de bootstrap résiduel proposées, qui reposent sur la combinaison des différentes valeurs p des groupes individuels, permettent d'éviter ce problème tout en contrôlant le niveau de signification global. La simulation et les résultats empiriques mettent en lumière l'utilité des tests conjoints de l'hypothèse d'efficience moyenne-variance.

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The arbitrage theory of capital asset pricing

Cited by 5,368 publications

References 6 publications

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing

Previsão do câmbio real-dólar sob um arcabouço de apreçamento de ativos

Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

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