Incremental significance of pre-specified macroeconomic factors in testing the arbitrage pricing theory: empirical evidence with Finnish data

1991 ◽  
Vol 1 (3) ◽  
pp. 139-147 ◽  
Author(s):  
Teppo Martikainen ◽  
Paavo Yli-Olli ◽  
Gunasekaran A.
Keyword(s):  
Empirical Evidence ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Macroeconomic Factors ◽  
Pricing Theory

A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory

1984 ◽  
Vol 39 (2) ◽  
pp. 323-346 ◽  
Author(s):  
PHOEBUS J. DHRYMES ◽  
IRWIN FRIEND ◽  
N. BULENT GULTEKIN
Keyword(s):  
Empirical Evidence ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Pricing Theory

scholarly journals Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan

2001 ◽  
Vol 6 (1) ◽  
pp. 55-74
Author(s):  
Ali Ataullah
Keyword(s):  
Asset Pricing ◽  
Empirical Test ◽  
Building Blocks ◽  
Individual Investors ◽  
Arbitrage Pricing Theory ◽  
Arbitrage Pricing ◽  
Macroeconomic Factors ◽  
Corporate Managers ◽  
Asset Pricing Theory ◽  
Pricing Theory

The Arbitrage Pricing Theory (APT) of Ross [1976] is one of the most important building blocks of modern asset pricing theory, and the prime alternative to the celebrated Capital Asset Pricing Model (CAPM) of Sharpe [1964], Lintner [1965], and others. This paper briefly reviews the theoretical underpinnings underlying the APT and highlights the econometric techniques used to test the APT with pre-specified macroeconomic factors. Besides this, the prime objective of this study is to perform an empirical test of the APT in the Pakistani stock market by using pre-specified macroeconomic factors and employing Iterative Non-Linear Seemingly Unrelated Regressions (ITNLSUR). These empirical results will be, hopefully, helpful for corporate managers undertaking cost of capital calculations, for domestic and international fund managers making investment decisions and, amongst others, for individual investors who wish to assess the performance of managed funds.

scholarly journals PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013)

2014 ◽  
Vol 3 (1) ◽  
pp. 17
Author(s):  
VIAN RISKA AYUNING TYAS ◽  
KOMANG DHARMAWAN ◽  
MADE ASIH
Keyword(s):  
Expected Returns ◽  
Second Step ◽  
Arbitrage Pricing Theory ◽  
Var Models ◽  
Arbitrage Pricing ◽  
Expected Return ◽  
Causality Test ◽  
Macroeconomic Factors ◽  
Vector Autoregressive ◽  
Pricing Theory

The Arbitrage Pricing Theory (APT) is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB), and theinterest rateof Bank Indonesia(SBI) are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%

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