Measuring the Pricing Error of the Arbitrage Price Theory

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dc.contributor.author Geweke, John en_US
dc.contributor.author Zhou, G. en_US
dc.contributor.editor en_US
dc.date.accessioned 2010-05-28T09:53:21Z
dc.date.available 2010-05-28T09:53:21Z
dc.date.issued 1996 en_US
dc.identifier 2008008279 en_US
dc.identifier.citation Geweke John and Zhou G. 1996, 'Measuring the Pricing Error of the Arbitrage Price Theory', Oxford University Press, vol. 9, no. 2, pp. 557-587. en_US
dc.identifier.issn 0893-9454 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/9994
dc.description.abstract Abstract: This article provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor model. In particular, we propose a measure of the APT pricing deviations and obtain its exact posterior distribution. Using monthly portfolio returns grouped by industry and market capitalization, we find that there is little improvement in reducing the pricing errors by including more factors beyond the first one. en_US
dc.language en_US
dc.publisher Oxford University Press en_US
dc.relation.isbasedon NA en_US
dc.title Measuring the Pricing Error of the Arbitrage Price Theory en_US
dc.parent Review of financial studies en_US
dc.journal.volume 9 en_US
dc.journal.number 2 en_US
dc.publocation Oxford en_US
dc.identifier.startpage 557 en_US
dc.identifier.endpage 587 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 140207 en_US
dc.personcode 101228 en_US
dc.personcode 0000053761 en_US
dc.percentage 100 en_US
dc.classification.name Financial Economics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords NA en_US


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