search query: @author Ehrhardt, M. C. / total: 7
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| Author: | Ehrhardt, M. C. |
| Title: | Arbitrage pricing models : the sufficient number of factors and equilibrium conditions. |
| Journal: | Journal of Financial Research
1987 : SUMMER, VOL. 10:2, p. 111-120 |
| Index terms: | ARBITRAGE PRICING THEORY TESTS STATISTICAL METHODS |
| Language: | eng |
| Abstract: | A simple test that corrects deficiencies when using typical methodology for estimating an arbitrage pricing model where statistical tests are inappropriate to determine the sufficient number of factors or may overstate them, and the methodology fails to determine whether the estimated model fully satisfies equilibrium conditions. The study covers arbitrage pricing theory and an empirical application. Two Tables and fourteen equations are given. |
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