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| Author: | Lockert, G. |
| Title: | Kapitalmarkttheoretische Ansätze zur Bewertung von Aktien: Entwicklung und Stand der Arbitrage Pricing Theory |
| Journal: | Zeitschrift für Betriebswirtschaft
1998 : ERGÄNZUNGSHEFT 2/98, p. 75-99 |
| Index terms: | ARBITRAGE PRICING THEORY EMPIRICAL RESEARCH |
| Language: | ger |
| Abstract: | The Arbitrage Pricing Theory (APT), originally introduced by Stephen A. Ross and later extended in several directions, is one of the central models in modern finance. This article presents an overall review of the current state of the theory recently gaining considerable attention in practice. The main result of the APT consists in a linear relation between expected returns and factor betas. The theoretical derivations differ first of all in the form (ecactness) of the pricing equation. While the "traditional" APT establishes merely in approximate relation without quantifying the amount by which an individual security is mispriced, some models belonging to the "Equilibrium-APT" give an explicit bound on the respective pricing error. |
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