search query: @author Ehrhardt, M. C. / total: 7
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| Author: | Ehrhardt, M. C. |
| Title: | A mean-variance derivation of a multifactor equilibrium model. |
| Journal: | Journal of Financial and Quantitative Analysis
1987 : JUN, VOL. 22:2, p. 227-236 |
| Index terms: | RATE OF RETURN STOCK PRICES |
| Language: | eng |
| Abstract: | In the field of security returns the Capital Asset Pricing Model (CAPM) has become widely accepted and used. Nevertheless, many security analysts still apply multi-factor models, other expert prefer the Arbitrage Pricing Model (APT). The APT has not been widely accepted, because its theoretical derivation provides very little insight into the nature of the factors. The present paper tries to derive a multi- factor equilibrium model. We apply a subset of assumptions of APT and CAPM, but our results yield better understanding of the factors than those of APT. |
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