Abstract
This paper develops a semiautoregression approach to estimate factors of the arbitrage pricing theory (APT) which describes asset returns slightly better than the CAPM, although there is still some mispricing in the APT model.
Volume
48
Page
599-620
Year
1993
Categories
Actuarial Applications and Methodologies
Investments
Arbitrage Pricing Theory (APT);
Actuarial Applications and Methodologies
Investments
CAPM
Financial and Statistical Methods
Statistical Models and Methods
Regression
Actuarial Applications and Methodologies
Ratemaking
Publications
Journal of Finance
