IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v11y1976i04p617-624_02.html
   My bibliography  Save this article

Industry Effects and Multivariate Stock Price Behavior

Author

Listed:
  • Aber, John W.

Abstract

Models of return generation for securities are potentially important for a number of reasons, including their possible utility in normative portfolio construction. Multi-index models of the process are frequently suggested as an alternative to the familiar single-index models, but, while the multi-index models are intuitively appealing, their empirical superiority remains largely undemonstrated. This paper examines the extent to which three multi-index models succeed in eliminating dependence in the return residuals for a portfolio of common stocks. The relevance of this research lies in the promise that, while obviously requiring additional inputs to determine the efficient set of portfolios, multi-index models may succeed in identifying a more accurate set of efficient portfolios.

Suggested Citation

  • 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.
    • Handle: RePEc:cup:jfinqa:v:11:y:1976:i:04:p:617-624_02
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000021037/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

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


    Cited by:

    1. Yuichi Goto & Koichi Arakaki & Yan Liu & Masanobu Taniguchi, 2023. "Homogeneity tests for one-way models with dependent errors under correlated groups," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 163-183, March.
    2. Chun-Da Chen & Alex YiHou Huang & Chih-Chun Chen, 2011. "The Effects of Abolishing a Foreign Institutional Investment Quota in Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(2), pages 74-98, March.
    3. 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.
    4. Augustine C. Arize & Ioannis N. Kallianotis & Scott Liu & John Malindretos & Brian L. Maruffi, 2014. "The Preponderance of Stock Picking Techniques: The Practice of Applied Money Managers," Accounting and Finance Research, Sciedu Press, vol. 3(2), pages 1-87, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:11:y:1976:i:04:p:617-624_02. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.