The Arbitrage Pricing Theory Versus the Generalized Intertemporal Capital Asset Pricing Model PDF Download
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Author: Guoqiang Wei
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages :
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Author: Guoqiang Wei
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages :
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Author: Kuo-Chiang Wei
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 482
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Author: Christian Koch
Publisher: GRIN Verlag
ISBN: 3640277856
Category : Business & Economics
Languages : en
Pages : 81
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Diploma Thesis from the year 1996 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 160 entries in the bibliography, language: English, abstract: A "few surprises" could be the trivial answer of the Arbitrage Pricing Theory if asked for the major determinants of stock returns. The APT was developed as a traceable framework of the main principles of capital asset pricing in financial markets. It investigates the causes underlying one of the most important fields in financial economics, namely the relationship between risk and return. The APT provides a thorough understanding of the nature and origins of risk inherent in financial assets and how capital markets reward an investor for bearing risk. Its fundamental intuition is the absence of arbitrage which is, indeed, central to finance and which has been used in virtually all areas of financial study. Since its introduction two decades ago, the APT has been subject to extensive theoretical as well as empirical research. By now, the arbitrage theory is well established in both respects and has enlightened our perception of capital markets. This paper aims to present the APT as an appropriate instrument of capital asset pricing and to link its principles to the valuation of risky income streams. The objective is also to provide an overview of the state of art of APT in the context of alternative capital market theories. For this purpose, Section 2 describes the basic concepts of the traditional asset pricing model, the CAPM, and indicates differences to arbitrage theory. Section 3 constitutes the main part of this paper introducing a derivation of the APT. Emphasis is laid on principles rather than on rigorous proof. The intuition of the pricing formula and its consistency with the state space preference theory are discussed. Important contributions to the APT are classified and br
Author: Cheng F. Lee
Publisher:
ISBN:
Category :
Languages : en
Pages : 26
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Author: Karim Saadallah Shalak
Publisher:
ISBN:
Category :
Languages : en
Pages : 152
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Two of the most important and well known models for predicting equity returns ar e the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT). This project will first examine and compare these two models theoretically fro m all aspects focusing on the strengths and weaknesses of each while taking into consideration past empirical work. In addition, this project will compare the empirical performance of the CAPM and the APT, specifically the Fama-French Thre e Factor Model, in predicting stock returns using stocks on the Dow Jones Indust rial Average. Using traditional measures such as the adjusted R-Squared, t-stat istic, and Wald test, no model was found to be superior to the other. As a resu lt, the Hansen-Jagannathan Distance test was used as a second resort. This test shows that the CAPM is actually superior to the APT. Chapter I will introduce both models and their implications. Chapter II and III will focus on the CAPM and APT respectively describing all their aspects includ ing evolution, strengths, weaknesses and past empirical applications. Chapter I V will comprise of an empirical study comparing both models to see which one doe s a better job in predicting equity returns. Chapter V will conclude the projec t with certain policy implications.
Author: Connie Anast
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 198
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"This paper describes both the Capital Asset Pricing Model and the Arbitrage Pricing Theory. Discussion of the CAPM includes a detailed definition of its assumptions and a review of its conclusions. The APT is developed in a more rigorous and complete fashion. Discussion of the APT continues by defining four possible macrofactors and using Discounted Cash Flow analysis as supporting evidence of their validity. The final chapter presents a detailed summary and comparison of the two models [sic] strengths and weaknesses. It is evident that without additional testing and analysis of the APT, researchers remain unable to agree on which model provides the most accurate estimate of security prices. Researchers advocating the APT maintain that it is the superior model, however, they have not been able to convince many practitioners."--Author's abstract.
Author:
Publisher: Bookboon
ISBN: 8776817121
Category :
Languages : en
Pages : 57
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Author: Marilyn Katherine Wiley
Publisher:
ISBN:
Category : Time-series analysis
Languages : en
Pages : 520
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Author: Diana R. Harrington
Publisher: Prentice Hall
ISBN:
Category : Business & Economics
Languages : en
Pages : 242
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Author: Attiya Y. Javed
Publisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 48
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