Multivariate regression tests of the arbitrage pricing theory: The instrumental-variables approach

1991 ◽  
Vol 1 (2) ◽  
pp. 191-208 ◽  
Author(s):  
K. C. John Wei ◽  
Cheng-Few Lee ◽  
Andrew H. Chen
Keyword(s):  
Instrumental Variables ◽  
Multivariate Regression ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Pricing Theory ◽  
Instrumental Variables Approach ◽  
Regression Tests

scholarly journals PENGUKURAN KINERJA PORTOFOLIO OPTIMAL CAPITAL ASSET PRICING MODEL (CAPM) DAN ARBITRAGE PRICING THEORY (APT) (Studi Kasus : Saham-saham LQ45)

2018 ◽  
Vol 7 (4) ◽  
pp. 419-430 ◽  
Author(s):  
Dedi Baleo Pasaribu ◽  
Di Asih I Maruddani ◽  
Sugito Sugito
Keyword(s):  
Asset Pricing ◽  
Capital Market ◽  
Capital Asset Pricing Model ◽  
Capital Asset Pricing ◽  
Arbitrage Pricing Theory ◽  
Pricing Model ◽  
Capital Asset ◽  
Arbitrage Pricing ◽  
Asset Pricing Model ◽  
Pricing Theory

Investing is placing money or funds in the hope of obtaining additional or specific gains on the money or funds. The capital market is one place to invest in the financial field of interest to investor. This is because the capital market gives investor the freedom to choose securities traded in the capital market in accordance with the wishes of investor. Investor are included in risk averter, that means investor will always try to avoid risk. To avoid risk, investor try to diversify their investment. Diversification concept commonly used is portfolio. To maximize the return to be earned, the investor will invest his funds into several stocks in order to earn a greater profit. Capital Asset Pricing Model (CAPM) is a balance model that describes the relation of a risk with return more simply because it uses only one variable to describe the risk. Arbitrage Pricing Theory (APT) is a balance model that used many risk variables to see the relation of risk and return. With both models will be obtained a portfolio with each constituent stock is four stocks selected from 45 stocks in the LQ45 index. To find out which portfolio is the best performed a performance analysis using the Sharpe index. From the measurement result, it is found that the best portfolio is the CAPM portfolio with composite stock is PTBA with investment weight of 0.467%, BUMI with investment weight of 12.855%, ANTM with investment weight of 53.077% and PPRO with investment weight of 33.601%. Keywords: LQ45, portfolio, Capital Asset Pricing Model (CAPM), Arbitrage Pricing Theory                       (APT), Sharpe Index 

scholarly journals Valuation of Government Bonds: the Exchange Rate Is an Important Aspect

2017 ◽  
Vol 65 (6) ◽  
pp. 1911-1916
Author(s):  
Blanka Francová
Keyword(s):  
Regression Model ◽  
Interest Rates ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Data Set ◽  
Government Bonds ◽  
Exchange Risk ◽  
Pricing Theory ◽  
Multi Linear Regression ◽  
The Relationship

Interest rates are currently very low in the countries. In these countries bonds are issued with low or negative yields. In this paper, I empirically investigate the factors that affect the price of bonds. I follow international arbitrage pricing theory to determine the relationship between factors and the price of bonds. The international arbitrage pricing theory applies a multi‑linear regression model. The regression model is used for emerging markets and developing markets separately. I have a unique data set of 46 countries. The main data are the monthly returns on government bonds in the period 2010–2015. Exchange risk influences the bond prices. Currency movements can bring further yield for investors.

Sign in / Sign up

Export Citation Format

Share Document