Search Results - subject:"Arbitrage pricing theory"

What do we know about informational efficiency? : three puzzles and the new direction forward

Go, You-How; Wee, Yeap Lau - In: Journal of economic surveys 37 (2023) 4, pp. 1489-1525

Persistent link: https://www.econbiz.de/10014338038

Investment Valuation and Asset Pricing : Models and Methods

Kolari, James W.; Pynnönen, Seppo - 2023

-- Chapter 7: Arbitrage Pricing Theory -- Chapter 8: Multifactor Models -- Chapter 9: A Special Case of Zero-Beta CAPM -- Chapter …

Persistent link: https://www.econbiz.de/10013504695

Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Linda - 2020

Persistent link: https://www.econbiz.de/10012319222

Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2020

Persistent link: https://www.econbiz.de/10012220505

The impact of the last two presidential periods on the performance of the Indonesia stock exchanges: An approach of arbitrage pricing theory

Garnia, Erna; Riadi, Deden Rizal; Nainggolan, Ida Margareta - In: Contemporary Economics 18 (2024) 3, pp. 301-320

Stock Exchange (IDX) and the differences in their effects on the last two presidential terms using the Arbitrage Pricing … Theory (APT) approach. The macro factors studied are an aggregate of 41 indicators of stock market index returns, benchmark …

Persistent link: https://www.econbiz.de/10015326037

Weak convergence to derivatives of fractional brownian motion

Johansen, Søren; Nielsen, Morten Ørregaard - In: Econometric theory 40 (2024) 4, pp. 859-874

Persistent link: https://www.econbiz.de/10015154308

Arbitrage asymmetry, mispricing and the illiquidity premium

Wang, Feifei; Zheng, Lingling - In: European financial management : the journal of the … 30 (2024) 4, pp. 1829-1867

Persistent link: https://www.econbiz.de/10015141961

The Statistical Limit of Arbitrage

Da, Rui; Nagel, Stefan; Xiu, Dacheng - National Bureau of Economic Research - 2024

to arbitrage widens the equilibrium bounds of alphas beyond what traditional arbitrage pricing theory predicts, leading …

Persistent link: https://www.econbiz.de/10015094912

Exploring South African/USA cryptocurrency arbitrage

Hutton, Jamie; Van Vuuren, Gary - In: African Journal of Innovation and Entrepreneurship : AJIE 3 (2024) 2, pp. 101-121

Persistent link: https://www.econbiz.de/10015327806

The market efficiency analysis of China’s copper options based on risk-free arbitrages

Zhang, Huiming; Ma, Zhen; Qian, Siji - In: Applied economics 56 (2024) 15, pp. 1834-1862

Persistent link: https://www.econbiz.de/10014473235