Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios

SSRN Electronic Journal ◽

10.2139/ssrn.3827614 ◽

2021 ◽

Author(s):

M. Hashem Pesaran ◽

Ron P. Smith

Keyword(s):

Risk Premia ◽

Discount Factor ◽

Stochastic Discount Factor ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory ◽

Estimation Of Risk

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Arbitrage pricing theory, the stochastic discount factor and estimation of risk premia from portfolios

Econometrics and Statistics ◽

10.1016/j.ecosta.2021.11.005 ◽

2021 ◽

Author(s):

M. Hashem Pesaran ◽

Ron P. Smith

Keyword(s):

Risk Premia ◽

Discount Factor ◽

Stochastic Discount Factor ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory ◽

Estimation Of Risk

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Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory: Discussion

The Journal of Finance ◽

10.2307/2328196 ◽

1988 ◽

Vol 43 (3) ◽

pp. 734

Author(s):

Stephen J. Brown

Keyword(s):

Risk Premia ◽

Joint Estimation ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory

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ARBITRAGE PRICING THEORY: THE SOURCES OF RISK PREMIA ON BANK HOLDING COMPANY STOCK

Financial Review ◽

10.1111/j.1540-6288.1986.tb00698.x ◽

1986 ◽

Vol 21 (3) ◽

pp. 34-34

Author(s):

Duane Graddy ◽

Ghassem Homaifar ◽

Adi Karna

Keyword(s):

Risk Premia ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Bank Holding Company ◽

Company Stock ◽

Holding Company ◽

Pricing Theory

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Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory

The Journal of Finance ◽

10.1111/j.1540-6261.1988.tb04603.x ◽

1988 ◽

Vol 43 (3) ◽

pp. 721-733 ◽

Cited By ~ 71

Author(s):

EDWIN BURMEISTER ◽

MARJORIE B. McELROY

Keyword(s):

Risk Premia ◽

Joint Estimation ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory

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The Arbitrage Pricing Theory and Foreign Exchange Risk Premia

Managerial Finance ◽

10.1108/eb013717 ◽

1993 ◽

Vol 19 (3/4) ◽

pp. 40-67 ◽

Cited By ~ 1

Author(s):

Lee Sarver ◽

George C. Philippatos

Keyword(s):

Foreign Exchange ◽

Risk Premia ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Foreign Exchange Risk ◽

Exchange Risk ◽

Pricing Theory

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Interpreting the factor risk premia in the arbitrage pricing theory

Journal of Economic Theory ◽

10.1016/0022-0531(85)90071-7 ◽

1985 ◽

Vol 35 (1) ◽

pp. 191-195 ◽

Cited By ~ 14

Author(s):

Anat R Admati ◽

Paul Pfleiderer

Keyword(s):

Risk Premia ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory

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International arbitrage pricing theory: Relating risk premia

International Review of Financial Analysis ◽

10.1016/s1057-5219(97)90016-8 ◽

1997 ◽

Vol 6 (1) ◽

pp. 13-20 ◽

Cited By ~ 1

Author(s):

Dana R. Clyman

Keyword(s):

Risk Premia ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory

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Analyzing the possibility to apply the arbitrage pricing theory in the Russian stock market

Financial Analytics Science and Experience ◽

10.24891/fa.12.3.269 ◽

2019 ◽

Vol 12 (3) ◽

pp. 269-283

Author(s):

M.S. Mikhailusov ◽

Keyword(s):

Stock Market ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory ◽

Russian Stock Market

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Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model: Iterated Nonlinear Seemingly Unrelated Regression Estimates

Journal of Business and Economic Statistics ◽

10.2307/1391415 ◽

1988 ◽

Vol 6 (1) ◽

pp. 29 ◽

Cited By ~ 54

Author(s):

Marjorie B. McElroy ◽

Edwin Burmeister

Keyword(s):

Regression Model ◽

Multivariate Regression ◽

Seemingly Unrelated Regression ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Multivariate Regression Model ◽

Unrelated Regression ◽

Pricing Theory

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Testing the arbitrage pricing theory in an emerging stock market: the case of Mauritius

Afro-Asian J of Finance and Accounting ◽

10.1504/aajfa.2009.028912 ◽

2009 ◽

Vol 1 (4) ◽

pp. 322

Author(s):

Sunil K. Bundoo

Keyword(s):

Stock Market ◽

Arbitrage Pricing Theory ◽

Arbitrage Pricing ◽

Pricing Theory

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