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- Title
Stock Return Anomalies and the Tests of the APT.
- Authors
GULTEKIN, MUSTAFA N.; GULTEKIN, N. BULENT
- Abstract
This paper shows that the empirical tests of the Arbitrage Pricing Theory (APT) model are very sensitive to the anomalies observed in January in the stock returns data. There is a strong seasonal pattern in the estimates of the risk premia from the APT model. The most important implication of the findings in this paper is that the APT model can explain the risk-return relation mostly for January. Once the January returns are excluded from the data, there is no significant relation between the expected stock returns and the risk measures predicted by the APT model.
- Subjects
RATE of return on stocks; ECONOMIC seasonal variations; ARBITRAGE; STOCK exchanges; PRICING; RISK premiums; CAPITAL assets pricing model; EXPECTED returns; RATE of return; RISK; MATHEMATICAL models of investments; ECONOMIC trends; ECONOMICS
- Publication
Journal of Finance (Wiley-Blackwell), 1987, Vol 42, Issue 5, p1213
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1987.tb04362.x