Do assumptions about factor structure matter in empirical tests of the APT?
Article Abstract:
An empirical testing of the Arbitrage Pricing Theory (APT) multifactor model of security returns was conducted using the data taken from 69 securities that were traded on the London Stock Exchange. The objective of the research is to examine whether assumptions matter in the testing of the APT model and its effects on the prices of risks. Results indicate that the returns on the securities are best defined by approximate factor structures. The findings suggest, therefore, that assumptions matter in the APT model test.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
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The conditional price of basis risk: an investigation using foreign exchange instruments
Article Abstract:
The time-varying risk premium in foreign currency instruments is calculated by using conditional multifactor model.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2004
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Sources of systematic risk in futures and spot markets: A study of market integration
Article Abstract:
Market integration is studied, in the context of risk in futures and spot markets.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2000
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