A Pricing Operator-Based Testing Foundation For A Class Of Factor Pricing Models
This paper develops a cross-market version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their "common factors" if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with probability 1. We define an APT measure as the squared distance between the two pricing operators. Then, testing whether this measure is zero is equivalent to testing exact factor pricing across the two submarkets. Since the estimation of this measure does not require parameterizing and extracting the underlying factors, one can test factor pricing models without knowing any factors. In addition, we present a randomization procedure so that one can use it to conduct a more comprehensive investigation on the empirical robustness of factor pricing models. Copyright 1994 Blackwell Publishers.
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.
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.
Volume (Year): 4 (1994)
Issue (Month): 2 ()
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0960-1627|
When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:4:y:1994:i:2:p:121-141. 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 references are entirely missing, you can add them using this form.