Testing APT Model upon a BVB Stocksâ€™ Portfolio
AbstractApplying the Arbitrage Pricing Theory model (APT), there can be identified the major factors of influence for a BVBâ€™ portfolio stocksâ€™ trend. There were taken into consideration two of the APT theory models, establishing influences upon portfolioâ€™s yield: given to macroeconomic environment and to some stochastic factors. The researchâ€™s results certify that, on the long term, what influences the stocksâ€™ movement in the stock market is mostly the action of specific short-term factors, without general covering, like the ones that are classified in the research area of behavioral finance (investorsâ€™ preference towards risk and towards time).
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Bibliographic InfoArticle provided by Academy of Economic Studies - Bucharest, Romania in its journal Informatica Economica.
Volume (Year): 15 (2011)
Issue (Month): 4 ()
Portfolio; Risk; Stocks; Yield; Testing;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993.
"On the relation between the expected value and the volatility of the nominal excess return on stocks,"
157, Federal Reserve Bank of Minneapolis.
- Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
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