Advanced Search
MyIDEAS: Login

On the Number of Factors in the Arbitrage Pricing Model

Contents:

Author Info

  • Trzcinka, Charles A

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://links.jstor.org/sici?sici=0022-1082%28198606%2941%3A2%3C347%3AOTNOFI%3E2.0.CO%3B2-F&origin=repec
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

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.

Bibliographic Info

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

Volume (Year): 41 (1986)
Issue (Month): 2 (June)
Pages: 347-68

as in new window
Handle: RePEc:bla:jfinan:v:41:y:1986:i:2:p:347-68

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

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

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Louis K. C. Chan & Jason Karceski & Josef Lakonishok, 1997. "The Risk and Return from Factors," NBER Working Papers 6098, National Bureau of Economic Research, Inc.
  2. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1).
  3. Bilson, Christopher M. & Brailsford, Timothy J. & Hooper, Vincent J., 2001. "Selecting macroeconomic variables as explanatory factors of emerging stock market returns," Pacific-Basin Finance Journal, Elsevier, vol. 9(4), pages 401-426, August.
  4. Cheoljun Eom & Woo-Sung Jung & Taisei Kaizoji & Seunghwan Kim, 2008. "Effect of changing data size on eigenvalues in the Korean and Japanese stock markets," Papers 0811.4021, arXiv.org, revised Jun 2009.
  5. Huang, Roger D. & Jo, Hoje, 1995. "Data frequency and the number of factors in stock returns," Journal of Banking & Finance, Elsevier, vol. 19(6), pages 987-1003, September.
  6. Heston, Steven L. & Rouwenhorst, K. Geert & Wessels, Roberto E., 1995. "The structure of international stock returns and the integration of capital markets," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 173-197, September.
  7. Patrick McGuire & Martijn A Schrijvers, 2003. "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
  8. Harding, Matthew C., 2008. "Explaining the single factor bias of arbitrage pricing models in finite samples," Economics Letters, Elsevier, vol. 99(1), pages 85-88, April.
  9. Kim Sawyer & André Gygax & Matthew Hazledine, 2010. "Pricing errors and estimates of risk premia in factor models," Annals of Finance, Springer, vol. 6(3), pages 391-403, July.
  10. Merton, Robert, 1990. "Capital market theory and the pricing of financial securities," Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 11, pages 497-581 Elsevier.
  11. Matsumoto, Keishiro & Hoban Jr., James P., 1999. "Seasonality in the rates of return on Japanese ADRs," Pacific-Basin Finance Journal, Elsevier, vol. 7(1), pages 67-81, February.
  12. Sotiris Staikouras, 2005. "Equity returns of financial institutions and the pricing of interest rate risk," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 499-508.
  13. Zagonov, Maxim, 2011. "Securitization and bank intermediation function," MPRA Paper 34961, University Library of Munich, Germany, revised Sep 2011.
  14. Eom, Cheoljun & Kwon, Okyu & Jung, Woo-Sung & Kim, Seunghwan, 2010. "The effect of a market factor on information flow between stocks using the minimal spanning tree," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(8), pages 1643-1652.
  15. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc.
  16. Maringer, Dietmar G., 2004. "Finding the relevant risk factors for asset pricing," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 339-352, September.
  17. Goyal, Amit & PĂ©rignon, Christophe & Villa, Christophe, 2008. "How common are common return factors across the NYSE and Nasdaq?," Journal of Financial Economics, Elsevier, vol. 90(3), pages 252-271, December.
  18. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO.
  19. Konstantinos Drakos, 2004. "A Note on Sector, Rating, and Maturity Effects on Risk Premia," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 3(3), pages 201-216, December.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:41:y:1986:i:2:p:347-68. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.