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Factor pricing in a finite economy

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Author Info
Grinblatt, Mark
Titman, Sheridan

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 12 (1983)
Issue (Month): 4 (December)
Pages: 497-507
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Handle: RePEc:eee:jfinec:v:12:y:1983:i:4:p:497-507

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  2. 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)
  3. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Richard Sweeney & Arthur Warga, 1984. "The Pricing of Unanticipated Changes in Expected Inflation: Evidence from the Stock Market," University of California at Los Angeles, Anderson Graduate School of Management 1218, Anderson Graduate School of Management, UCLA. [Downloadable!]
  5. 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)
  6. Stephen J. Brown & William N. Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," NBER Working Papers 6412, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Ramesh Rao & Eric Stevens, 2006. "The Firm's Cost of Capital, Its Effective Marginal Tax Rate, and the Value of the Government's Tax Claim," Topics in Economic Analysis & Policy, Berkeley Electronic Press, vol. 6(1), pages 1465-1465. [Downloadable!] (restricted)
  8. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  9. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO. [Downloadable!]
  10. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Quantitative Finance Papers physics/0702027, arXiv.org. [Downloadable!]
  11. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 3-41, January. [Downloadable!]
  12. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]
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