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Findings The paper finds that the pricing restrictions of the D-APT, in the context of an unrestricted linear factor model, cannot be rejected over the sample period. Practical implications The framework can be useful to investors, portfolio managers, and economists in predicting expected stock returns driven by macroeconomic and financial variables. Please note you might not have access to this content.


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Working Papers & Publications

Connor, Gregory and Robert A. Mutual Funds. Jarrow, V. Maksimovic, and W. Amsterdam: North Holland, Korajczyk , "Factor Models of Asset Returns. Connor, Gregory , Robert A. Constantinides, George M. Conway, Delores A. Cragg, John G. Malkiel , Expectations and the Structure of Share Prices. Chicago: University of Chicago Press, Dhrymes, Phoebus J.

Diacogiannis, George P. Dominguez, Kathryn M. Dybvig, Philip H. Ross , "Arbitrage. Eatwell, M. Milgate, and P. Newman eds. The New Palgrave: Finance. New York: Norton, Eichholtz, Piet M. Ehrhardt, Michael C. Elton, Edwin J. Gruber , and Manfred W. Elton and M. Amsterdam: North-Holland, Engle, Robert F. Faff, Robert W. Fama, Eugene F. French , "Industry Costs of Equity. Farrar, Donald E. Englewood Cliffs: Prentice-Hall, Farrell, James L.

Ferson, Wayne E. Forthcoming in Douglas Greenwald ed.

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CAPM OR APT (choose any one) - Arbitrage Pricing Theory

Gibbons, Michael R. Gilles, Christian, and Stephen F. Gourieroux, C. Monfort, and E. Green, Richard C. Grissom, Terry V. Guerard, J. Rachev, and B. Bulent and Richard J. Gupta, Manoj and Joseph E. Guy, James R. Hameed, Allaudeen S. Handa, Puneet , and Scott C. Linn , "Arbitrage Pricing with Estimation Risk. Harding, Matthew C. Harrington, Diana R.

Harrison, J. Michael and David M. Haugen, Robert A. Baker, "Dedicated Stock Portfolios. Hegde, Krishna, and P. Heike, David K.

The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests

Heston, Steven L. Geert Rouwenhorst, and Roberto E. Ho, Mun S. Perraudin, and Bent E. Huang, Roger D. Huberman, Gur , "Arbitrage Pricing Theory. Newman, eds.


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Huberman, Gur , Shmuel Kandel , and G. Hughes, Patricia J. Hunter, John E. Ingersoll, Jonathan E. Jagannathan, Ravi and S.

Jarrow, Robert A. Englewood Cliffs: Prentice-Hall, a. Jobson, J. John, Kose , Teresa A. Chen, N. Roll and S. Cho, D. Elton and M. Claude, B. Drew, E. Dhankar, P. Dhrymes, P. Friend and N. Febrian, E and Herwany, A. Farmer, R.

Arbitrage pricing theory

Flury, B. Multivariate Statistics. A Practical Approach. London: Chapman and Hall. Fama, E. Fama, F. E, and French, R. Ferreira, M. P and Rocha, R. Gehr, A.


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Grinblatt, M and Titman, S. Ikbal and Aziz, Kandel, S. On correlations and inferences about mean variance efficiency. Journal of Financial Economics 18, 61— Kaul, G. The role of the monetary sector, Journal of Financial Economics, 18, Lintner, J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47 February : 13—