Measuring the Pricing Error of the Arbitrage Pricing Theory
نویسندگان
چکیده
منابع مشابه
Measuring the Pricing Error of the Arbitrage Pricing Theory
This article provides an exact Bayesian frame work for analyzing the arbitrage pricing the ory (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 ...
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Virtual Arbitrage Pricing Theory
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 1996
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/9.2.557