This paper addresses the case when stock market returns are assumed being generated through a factorial structure. High levels of idiosyncratic risk are shown to exist for most stocks on the US market, when CAPM or APT are used for the estimation of diversifiable risks. The presence of these...

This paper studies the nonlinear dependences in daily returns of 40 French stocks and two indices, the Vontobel-Datastream index and the official French index CAC40. These returns are studied during a period of twenty-four years beginning January 1, 1975. The rescaled range analysis of Hurst and...

In this paper the application of Arbitrage Pricing Theory (APT) and multifactorial pricing is studied on the Swiss stock market. In order to estimate the factors used in the multifactorial model, it is proposed to use the new method of Independent Component Analysis. This method laying on neural...