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Arbitrage Pricing Theory Applied to the Chilean Stock Market


  • Werner Kristjanpoller
  • Mauricio Morales


Arbitrage pricing theory states that the expected return of an asset portfolio is related to factors characterizing the economy and could be associated to macroeconomic variables. In this paper, we consider equity traded in the Chilean stock market to empirically contrast the APT in its macroeconomic variant. We find evidence regarding the statistically significant impact of shocks in the monthly index of economic activity, in the consumer price index and in copper price on estimations of stock returns. In contrast, no evidence is found on the relevance of variations in the stock market index, short-term and long-term interest rates and oil prices for stock returns

Suggested Citation

  • Werner Kristjanpoller & Mauricio Morales, 2011. "Arbitrage Pricing Theory Applied to the Chilean Stock Market," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 74, pages 37-59.
  • Handle: RePEc:lde:journl:y:2011:i:74:p:37-59

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    References listed on IDEAS

    1. Sowell, Fallaw, 1992. "Maximum likelihood estimation of stationary univariate fractionally integrated time series models," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 165-188.
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    4. Harris, David & McCabe, Brendan & Leybourne, Stephen, 2008. "Testing For Long Memory," Econometric Theory, Cambridge University Press, vol. 24(01), pages 143-175, February.
    5. Hauser, Michael A, 1997. "Semiparametric and Nonparametric Testing for Long Memory: A Monte Carlo Study," Empirical Economics, Springer, vol. 22(2), pages 247-271.
    6. Tanaka, Katsuto, 1999. "The Nonstationary Fractional Unit Root," Econometric Theory, Cambridge University Press, vol. 15(04), pages 549-582, August.
    7. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
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    More about this item


    Asset pricing theory; stock exchange; market efficiency;

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets


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