Download Info

To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info

Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 39 (1984)
Issue (Month): 4 (September)
Pages: 1021-39
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:39:y:1984:i:4:p:1021-39

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research

Keywords:

Cited by:
(explanations, 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.)

1. Pesaran, M.H. & Zaffaroni, P., 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," Cambridge Working Papers in Economics 0813, Faculty of Economics, University of Cambridge. [Downloadable!]
   Other versions:
   • M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
2. Eric Ghysels, 1995. "On Stable Factor Structures in the Pricing of Risk," CIRANO Working Papers 95s-16, CIRANO. [Downloadable!]
   Other versions:
   • Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
   • Ghysels, E., 1995. "On Stable Factor Structurs in the Pricing of Risk," Cahiers de recherche 9525, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
3. Christophe Morel, 2001. "Stock selection using a multi-factor model - empirical evidence from the French stock market," European Journal of Finance, Taylor and Francis Journals, vol. 7(4), pages 312-334, December. [Downloadable!] (restricted)
4. Lubos Pastor & Robert F. Stambaugh, 1999. "Comparing Asset Pricing Models: An Investment Perspective," NBER Working Papers 7284, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • Lubos Pastor & Robert F. Stambaugh, . "Comparing Asset Pricing Models: An Investment Perspective," Rodney L. White Center for Financial Research Working Papers 16-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
   • Luboš Pástor & Robert F. Stambaugh, 1999. "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers 497, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
   • Pastor, Lubos & Stambaugh, Robert F., 2000. "Comparing asset pricing models: an investment perspective," Journal of Financial Economics, Elsevier, vol. 56(3), pages 335-381, June. [Downloadable!] (restricted)
5. Bruce N. Lehmann, 1992. "Notes on Dynamic Factor Pricing Models," NBER Working Papers 3677, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
6. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, EconWPA. [Downloadable!]
7. A. Craig MacKinlay, 1994. "Multifactor Models Do Not Explain Deviations from the CAPM," NBER Working Papers 4756, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
8. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO. [Downloadable!]
9. Bruce N. Lehmann & David M. Modest, 1985. "The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios," NBER Working Papers 1726, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
10. M. Ali Khan & Yeneng Sun, 1996. "Hyperfinite Asset Pricing Theory," Cowles Foundation Discussion Papers 1139, Cowles Foundation, Yale University. [Downloadable!]
11. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]

Did you know? You can include your works in the database easily by uploading them on the Munich Personal RePEc Archive (MPRA) if you do not have access to an institutional RePEc archive.

This page was last updated on 2008-11-26.