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| Author: | Pettway, R. H. Jordan, B. D. |
| Title: | APT vs. CAPM estimates of the return-generating function parameters for regulated public utilities. |
| Journal: | Journal of Financial Research
1987 : FALL, VOL. 10:3, p. 227-238 |
| Index terms: | NATIONALISED INDUSTRIES CAPITAL ASSET PRICING ARBITRAGE PRICING THEORY RATE OF RETURN |
| Language: | eng |
| Abstract: | A review of the development of forward estimates of the parameters of Arbitrage Pricing Theory and the Capital Asset Pricing Model with the application of five different utility protfolios of electric and natural gas companies at a point in time to test whether these estimates are valid during a subsequent or future period. Errors are also forecast for each model and compared to determine which model is best and to ascertain if there are ranking conflicts. The analysis suggests that the arbitrage model is superior. |
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