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Do assumptions about factor structure matter in empirical tests of the APT?

Article Abstract:

An empirical testing of the Arbitrage Pricing Theory (APT) multifactor model of security returns was conducted using the data taken from 69 securities that were traded on the London Stock Exchange. The objective of the research is to examine whether assumptions matter in the testing of the APT model and its effects on the prices of risks. Results indicate that the returns on the securities are best defined by approximate factor structures. The findings suggest, therefore, that assumptions matter in the APT model test.

Author: Priestley, Richard, Garrett, Ian
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 1997
Securities, Return on investment, Arbitrage, Rate of return

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The conditional price of basis risk: an investigation using foreign exchange instruments

Article Abstract:

The time-varying risk premium in foreign currency instruments is calculated by using conditional multifactor model.

Author: Miffre, Joelle
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2004
United States, Venture Analysis, Risk assessment, Evaluation, Currency options, Foreign exchange market

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Sources of systematic risk in futures and spot markets: A study of market integration

Article Abstract:

Market integration is studied, in the context of risk in futures and spot markets.

Author: Miffre, Joelle, Priestley, Richard
Publisher: Blackwell Publishers Ltd.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2000
Asset Accounting, Assets (Accounting), Futures

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Subjects list: Research, Models
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