Autoregressive multifactor APT model for U.S. Equity Markets
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References listed on IDEAS
- Jae-Kwang Hwang, 1999. "The relationship between stock prices and exchange rates: Evidence from Canada," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(3), pages 397-397, August.
- Shanken, Jay, 1987. "Multivariate proxies and asset pricing relations : Living with the Roll critique," Journal of Financial Economics, Elsevier, vol. 18(1), pages 91-110, March.
- Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
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KeywordsEquity Pricing; APT; Arbitrage pricing theory; Multifactor model; Security; Pricing; CAPM;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-03 (All new papers)
- NEP-CFN-2010-07-03 (Corporate Finance)
- NEP-FMK-2010-07-03 (Financial Markets)
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