Funds, Factors, and Diversification in Arbitrage Pricing Models

Econometrica ◽  
1983 ◽  
Vol 51 (5) ◽  
pp. 1305 ◽  
Author(s):  
Gary Chamberlain
Keyword(s):  
Arbitrage Pricing ◽  
Pricing Models

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

1995 ◽  
Vol 68 (3) ◽  
pp. 309 ◽  
Author(s):  
Wayne E. Ferson ◽  
Robert A. Korajczyk
Keyword(s):  
Stock Returns ◽  
Arbitrage Pricing ◽  
Pricing Models

scholarly journals Asset Attribution Stability And Portfolio Construction: An Educational Example

2014 ◽  
Vol 7 (2) ◽  
pp. 115-120
Author(s):  
James T. Chong ◽  
William P. Jennings ◽  
G. Michael Phillips
Keyword(s):  
Asset Pricing ◽  
Portfolio Construction ◽  
Arbitrage Pricing ◽  
Pricing Models ◽  
Portfolio Returns ◽  
Asset Pricing Models ◽  
Using Data ◽  
Capm Model ◽  
Separation Test

This paper illustrates how a third statistic from asset pricing models, the R-squared statistic, may have information that can help in portfolio construction. Using a traditional CAPM model in comparison to an 18-factor Arbitrage Pricing Style Model, a portfolio separation test is conducted. Portfolio returns and risk metrics are compared using data from the Dow Jones 30 stocks over the period January 2007 through October 2013. Various teaching points are discussed and illustrated.

Explaining the single factor bias of arbitrage pricing models in finite samples

2008 ◽  
Vol 99 (1) ◽  
pp. 85-88 ◽  
Author(s):  
Matthew C. Harding
Keyword(s):  
Single Factor ◽  
Arbitrage Pricing ◽  
Pricing Models ◽  
Finite Samples ◽  
Factor Bias

The empirical relevance of arbitrage pricing models

1984 ◽  
Vol 10 (4) ◽  
pp. 35-44 ◽  
Author(s):  
Phoebus J. Dhrymes
Keyword(s):  
Arbitrage Pricing ◽  
Pricing Models

Arbitrage pricing models

2005 ◽  
pp. 241-267
Keyword(s):  
Arbitrage Pricing ◽  
Pricing Models

A comparative analysis of security pricing using factor, macrovariable and arbitrage pricing models

1998 ◽  
Vol 22 (2-3) ◽  
pp. 21-41 ◽  
Author(s):  
Suat Teker ◽  
Oscar Varela
Keyword(s):  
Comparative Analysis ◽  
Arbitrage Pricing ◽  
Pricing Models ◽  
Security Pricing

Arbitrage Pricing Models for two Scandinavian stock markets

Omega ◽  
1989 ◽  
Vol 17 (5) ◽  
pp. 437-447 ◽  
Author(s):  
R Östermark
Keyword(s):  
Stock Markets ◽  
Arbitrage Pricing ◽  
Pricing Models

Pricing models of shares of Russian companies and their practical application

2019 ◽  
pp. 48-76 ◽  
Author(s):  
Alexander E. Abramov ◽  
Alexander D. Radygin ◽  
Maria I. Chernova
Keyword(s):  
Stock Market ◽  
Institutional Investors ◽  
Factor Model ◽  
Investment Strategies ◽  
Pricing Models ◽  
Foreign Portfolio Investment ◽  
Market Portfolio ◽  
Stock Market Performance ◽  
Long Time ◽  
Russian Stock Market

The article analyzes the problems of applying stock pricing models in the Russian stock market. The novelty of the study lies in the peculiarities of the methodology used and the substantive conclusions on the specifics of the influence of fundamental factors on the pricing of shares of Russian companies. The study was conducted using its own 5-factor basic pricing model based on a sample of the most complete number of issues of shares of Russian issuers and a long time horizon, from 1997 to 2017. The market portfolio was the widest for a set of issuers. We consider the factor model as a kind of universal indicator of the efficiency of the stock market performance of its functions. The article confirms the significance of factors of a broad market portfolio, size, liquidity and, in part, momentum (inertia). However, starting from 2011, the significance of factors began to decrease as the qualitative characteristics of the stock market deteriorated due to the outflow of foreign portfolio investment, combined with the low level of development of domestic institutional investors. Also identified is the cyclical nature of the actions of company size and liquidity factors. Their ability to generate additional income on shares rises mainly at the stage of the fall of the stock market. The results of the study suggest that as domestic institutional investors develop on the Russian stock market, factor investment strategies can be used as a tool to increase the return on investor portfolios.

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