haku: @indexterm ARBITRAGE PRICING THEORY / yhteensä: 66
viite: 36 / 66
| Tekijä: | Östermark, R. |
| Otsikko: | Arbitrage pricing models for two Scandinavian stock markets. |
| Lehti: | Omega
1989 : VOL. 17:5, p. 437-447 |
| Asiasana: | STOCK MARKETS ARBITRAGE PRICING THEORY CAPITAL ASSET PRICING SCANDINAVIA |
| Kieli: | eng |
| Tiivistelmä: | Arbitrage pricing models are tested with Finnish and Swedish data. The models are estimated with equivalent index series. The dominance relationship between the arbitrage pricing theory /APT/ and the capital asset pricing model /CAPM/ is compared. The consistency is checked by the posterior odds ratio. The tests indicate that all ratios are strongly in favour of APT in both countries. The Finnish loadings turn out to be more volatile than the Swedish. Furthermore, the multiple factor model tends to have relatively more power with Finnish than with Swedish data. The results suggest that the single factor model, CAPM, tends to be more powerful in explaining Swedish than Finnish stock returns. |
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