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Factor pricing in a finite economy

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  • Grinblatt, Mark
  • Titman, Sheridan

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  • Grinblatt, Mark & Titman, Sheridan, 1983. "Factor pricing in a finite economy," Journal of Financial Economics, Elsevier, vol. 12(4), pages 497-507, December.
  • Handle: RePEc:eee:jfinec:v:12:y:1983:i:4:p:497-507
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    Citations

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    Cited by:

    1. Michael Rothschild, 1985. "Asset Pricing Theories," NBER Technical Working Papers 0044, National Bureau of Economic Research, Inc.
    2. Stephen Brown & William Goetzmann & Mark Grinblatt, 1998. "Positive Portfolio Factors," Yale School of Management Working Papers ysm87, Yale School of Management, revised 01 Apr 2008.
    3. Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 557-587.
    4. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
    5. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
    6. Kent Daniel & Lira Mota & Simon Rottke & Tano Santos, 2017. "The Cross-Section of Risk and Return," NBER Working Papers 24164, National Bureau of Economic Research, Inc.
    7. Rao Ramesh K. S. & Stevens Eric C, 2006. "The Firm's Cost of Capital, Its Effective Marginal Tax Rate, and the Value of the Government's Tax Claim," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 6(1), pages 1-57, January.
    8. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.
    9. Chadwick, Meltem, 2010. "Performance of Bayesian Latent Factor Models in Measuring Pricing Errors," MPRA Paper 79060, University Library of Munich, Germany.
    10. Zhao, Yonggan, 2007. "A dynamic model of active portfolio management with benchmark orientation," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3336-3356, November.
    11. 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.
    12. Yannick Malevergne & Pedro Santa-Clara & Didier Sornette, 2009. "Professor Zipf goes to Wall Street," NBER Working Papers 15295, National Bureau of Economic Research, Inc.
    13. Thierry Vessereau, 2000. "Factor Analysis and Independent Component Analysis in Presence of High Idiosyncratic Risks," CIRANO Working Papers 2000s-46, CIRANO.
    14. Y. Malevergne & D. Sornette, 2007. "A two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes," Papers physics/0702027, arXiv.org.
    15. Gonzalo Rubio, 1993. "Performance measurement of managed portfolios: a survey," Investigaciones Economicas, FundaciĆ³n SEPI, vol. 17(1), pages 3-41, January.
    16. Christophe Morel, 2001. "Stock selection using a multi-factor model - empirical evidence from the French stock market," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 312-334.
    17. Francisco Barillas & Jay Shanken, 2015. "Comparing Asset Pricing Models," NBER Working Papers 21771, National Bureau of Economic Research, Inc.
    18. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    19. David H. Goldenberg & Ashok J. Robin, 1991. "The Arbitrage Pricing Theory And Cost-Of-Capital Estimation: The Case Of Electric Utilities," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 14(3), pages 181-196, September.
    20. Lam, Keith S. K., 2002. "The relationship between size, book-to-market equity ratio, earnings-price ratio, and return for the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 13(2), pages 163-179.
    21. 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).

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