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An Empirical Test Of The Arbitrage Pricing Theory

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  • Robert A. Pari
  • Son-Nan Chen

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  • Robert A. Pari & Son-Nan Chen, 1984. "An Empirical Test Of The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 121-130, June.
    • Handle: RePEc:bla:jfnres:v:7:y:1984:i:2:p:121-130
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1984.tb00361.x
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    References listed on IDEAS

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    1. Oldfield, George S, Jr & Rogalski, Richard J, 1981. "Treasury Bill Factors and Common Stock Returns," Journal of Finance, American Finance Association, vol. 36(2), pages 337-350, May.
    2. Stephen A. Ross, 2013. "The Arbitrage Theory of Capital Asset Pricing," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 1, pages 11-30, World Scientific Publishing Co. Pte. Ltd..
    3. William F. Sharpe, 1963. "A Simplified Model for Portfolio Analysis," Management Science, INFORMS, vol. 9(2), pages 277-293, January.
    4. Reinganum, Marc R, 1981. "The Arbitrage Pricing Theory: Some Empirical Results," Journal of Finance, American Finance Association, vol. 36(2), pages 313-321, May.
    5. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-280, April.
    6. Roll, Richard & Ross, Stephen A, 1980. "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 35(5), pages 1073-1103, December.
    7. Aber, John W., 1976. "Industry Effects and Multivariate Stock Price Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(4), pages 617-624, November.
    8. C. Rao, 1955. "Estimation and tests of significance in factor analysis," Psychometrika, Springer;The Psychometric Society, vol. 20(2), pages 93-111, June.
    9. Livingston, Miles, 1977. "Industry Movements of Common Stocks," Journal of Finance, American Finance Association, vol. 32(3), pages 861-874, June.
    10. Fogler, H Russell & John, Kose & Tipton, James, 1981. "Three Factors, Interest Rate Differentials and Stock Groups," Journal of Finance, American Finance Association, vol. 36(2), pages 323-335, May.
    11. Foster, George, 1978. "Asset Pricing Models: Further Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 39-53, March.
    12. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    13. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
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    Cited by:

    1. N. Groenewold, 2000. "Financial Deregulation and the Relationship Between the Economy and the Share Market in Australia," Economics Discussion / Working Papers 00-10, The University of Western Australia, Department of Economics.
    2. N. Groenewold, 2000. "Fundamental Share Prices and Aggregate Real Output," Economics Discussion / Working Papers 00-05, The University of Western Australia, Department of Economics.
    3. Colin Lizieri & Stephen Satchell & Qi Zhang, 2007. "The Underlying Return‐Generating Factors for REIT Returns: An Application of Independent Component Analysis," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 35(4), pages 569-598, December.
    4. G. Kling & U. Weitzel, 2009. "Endogenous mergers: Bidder momentum and market reaction," Working Papers 09-22, Utrecht School of Economics.
    5. Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.
    6. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
    7. Alvaro Aguirre & César Calderón, 2005. "Real Exchange Rate Misalignments and Economic Performance," Working Papers Central Bank of Chile 316, Central Bank of Chile.
    8. Maryam Abid & Danish Ahmed Siddique, 2020. "Impact of Financial Market Uncertainty on Market Returns: A Global Analysis," Business and Economic Research, Macrothink Institute, vol. 10(3), pages 216-244, September.
    9. Michael C. Ehrhardt, 1987. "Arbitrage Pricing Models: The Sufficient Number Of Factors And Equilibrium Conditions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 111-120, June.
    10. Saqib Muneer & Babar Zaheer Butt & Kashif Ur Rehman, 2011. "A Multifactor Model of Banking Industry Stock Returns: An Emerging Market Perspective," Information Management and Business Review, AMH International, vol. 2(6), pages 267-275.
    11. 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, University Library of Munich, Germany.
    12. Nicolaas Groenewold, 2004. "Fundamental share prices and aggregate real output," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 651-661.
    13. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group.
    14. Saban Celik, 2012. "Theoretical and Empirical Review of Asset Pricing Models:A Structural Synthesis," International Journal of Economics and Financial Issues, Econjournals, vol. 2(2), pages 141-178.
    15. Gao, Lei & Kling, Gerhard, 2006. "Regulatory changes and market liquidity in Chinese stock markets," Emerging Markets Review, Elsevier, vol. 7(2), pages 162-175, June.
    16. 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).
    17. B. Carmichael & L. Samson, 2003. "Expected returns and economic risk in Canadian financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(3), pages 177-189.
    18. Theophano Patra & Sunil Poshakwale, 2006. "Economic variables and stock market returns: evidence from the Athens stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 16(13), pages 993-1005.

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