haku: @author Antoniou, A. / yhteensä: 10
viite: 7 / 10
| Tekijä: | Antoniou, A. Garrett, I. Priestley, R. |
| Otsikko: | Macroeconomic variables as common pervasive risk factors and the empirical content of the arbitrage pricing theory |
| Lehti: | Journal of Empirical Finance
1998 : SEP, VOL. 5:3, p. 221-240 |
| Asiasana: | Stock markets Pricing Theories United Kingdom |
| Kieli: | eng |
| Tiivistelmä: | In this paper, the performance of the APT for securities traded on the London Stock Exchange is investigated. The performance is analyzed in terms of the presence of common pervasive factors across two different samples allowing for the fact that returns exhibit an approximate factor structure. Unlike most previous studies, it is found that for two sub-samples of assets it is possible to arrive at a unique return generating process in the sense that three factors relating to the money supply, inflation and excess returns on the stock market are priced and carry the same prices of risk in both samples. |
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