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- Title
Multifactor Asset Pricing Models.
- Authors
Sinclair, N. A.
- Abstract
Since the early 1960s, the mean-variance Capital Asset Pricing Model (CAPM) has been a dominant paradigm in modern finance. Recently, the accumulation of anomalous evidence, and a realisation that empirical tests of the model are tautologically related to the efficiency of the market index, have pushed that paradigm to a point of crisis. This paper reviews alternative asset pricing models which coexisted with the CAPM and may provide plausible substitutes. The major distinguishing feature of these models is that they predict multiple risk factors and, with the exception of the Arbitrage Pricing Theory (APT), are extensions of the CAPM.
- Subjects
CAPITAL assets pricing model; MATHEMATICAL models of capital; CORPORATE finance; RISK management in business; MANAGEMENT
- Publication
Accounting & Finance, 1987, Vol 27, Issue 1, p17
- ISSN
0810-5391
- Publication type
Article
- DOI
10.1111/j.1467-629x.1987.tb00233.x