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| Tekijä: | Oestermark, R. |
| Otsikko: | Portfolio efficiency of APT and CAPM in two Scandinavian stock exchanges |
| Lehti: | Omega
1990 : VOL. 18:4, p. 433-444 |
| Asiasana: | ARBITRAGE PRICING THEORY CAPITAL ASSET PRICING SCANDINAVIA STOCK EXCHANGES RATE OF RETURN CAPITAL MARKETS |
| Kieli: | eng |
| Tiivistelmä: | The portfolio efficiency of the arbitrage pricing theory /APT/ and the capital asset pricing model /CAPM/ is evaluated and compared. The dominance testing is based on a super criterion. The competing capital market theories are tested with weekly price index data. The results justify the conclusion that APT dominates the CAPM in both Finnish and Swedish conditions, both statistically and economically. The multifactor APT is more powerful in predicting stock returns, whereas the contrary holds for the single factor CAPM. A considerable deviation between the expected frontier and the best expectational frontier of the APT is observed. |
SCIMA