IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v28y1993i03p331-345_00.html
   My bibliography  Save this article

Explaining the Cross-Section of Returns via a Multi-Factor APT Model

Author

Listed:
  • Mei, Jianping

Abstract

This paper uses an autoregressive approach to test a multi-factor model with time-varying risk premiums. A quasi-differencing approach is used to eliminate the unobservable factors in the model. It is found that the model is capable of capturing the “size effect†and the “dividend yield effect,†but is incapable of explaining the “book-to-market effect†and the “earnings-price ratio effect.†Thus, it is concluded that a constant-beta multi-factor model will not be able to explain the cross-sectional variation in expected returns.

Suggested Citation

  • Mei, Jianping, 1993. "Explaining the Cross-Section of Returns via a Multi-Factor APT Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(3), pages 331-345, September.
    • Handle: RePEc:cup:jfinqa:v:28:y:1993:i:03:p:331-345_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000008553/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. Cauchie, Severine & Hoesli, Martin & Isakov, Dusan, 2004. "The determinants of stock returns in a small open economy," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 167-185.
    2. Erie Febrian & Aldrin Herwany, 2009. "The Performance Of Asset Pricing Models Before, During, And After Financial Crisis In Emerging Market: Evidence From Indonesia," Working Papers in Business, Management and Finance 200902, Department of Management and Business, Padjadjaran University, revised Feb 2009.
    3. Alvaro Veiga & Leonardo Souza, 2006. "Using Irregularly Spaced Returns to Estimate Multi-factor Models: Application to Brazilian Equity Data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 605-626.
    4. Lawrence Leger & Vitor Leone, 2008. "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 228-244, August.
    5. Erie Febrian & Aldrin Herwany, 2010. "The Performance Of Asset Pricing Models Before, During, And After An Emerging Market Financial Crisis: Evidence From Indonesia," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(1), pages 85-97.
    6. Kryzanowski, Lawrence & Switzer, Lorne & Jiang, Li, 1995. "Stock market crash behavior of screen-sorted portfolios," International Review of Economics & Finance, Elsevier, vol. 4(3), pages 227-244.

    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:28:y:1993:i:03:p:331-345_00. 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.