Works about ARBITRAGE pricing theory

Results: 116

A Note on Interaction between Financial Markets.

Published in:

Asia-Pacific Financial Markets, 2000, v. 7, n. 2, p. 179, doi. 10.1023/A:1010026032246

By:

Takahashi, Hajime

Publication type:

Article

Cross-Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences.

Published in:

Financial Management (Wiley-Blackwell), 2017, v. 46, n. 2, p. 409, doi. 10.1111/fima.12145

By:

Hur, Jungshik;
Singh, Vivek

Publication type:

Article

Crises, Liquidity Shocks, and Fire Sales at Commercial Banks.

Published in:

Financial Management (Wiley-Blackwell), 2014, v. 43, n. 4, p. 857, doi. 10.1111/fima.12056

By:

Boyson, Nicole;
Helwege, Jean;
Jindra, Jan

Publication type:

Article

ESTIMATING TURKISH STOCK MARKET RETURNS WITH APT MODEL: COINTEGRATION AND VECTOR ERROR CORRECTION.

Published in:

Economic Review: Journal of Economics & Business / Ekonomska Revija: Casopis za Ekonomiju i Biznis, 2016, v. 14, n. 1, p. 7

By:

SEZGİN ALP, Özge;
GÖKGÖZ, Fazıl;
KÜÇÜKKOCAOĞLU, Güray

Publication type:

Article

Arbitrage pricing in non-Walrasian financial markets.

Published in:

Economic Theory, 2018, v. 66, n. 4, p. 951, doi. 10.1007/s00199-017-1074-8

By:

Carvajal, Andrés

Publication type:

Article

Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons.

Published in:

Operations Research, 2019, v. 67, n. 1, p. 1, doi. 10.1287/opre.2018.1761

By:

Cruise, James;
Zachary, Stan;
Flatley, Lisa;
Gibbens, Richard

Publication type:

Article

Inverse Optimization: A New Perspective on the Black-Litterman Model.

Published in:

Operations Research, 2012, v. 60, n. 6, p. 1389, doi. 10.1287/opre.1120.1115

By:

Bertsimas, Dimitris;
Gupta, Vishal;
Paschalidis, Ioannis Ch.

Publication type:

Article

Some Doubts about the Economic Analysis of the Flow of Silver to China in 1550-1820.

Published in:

Open Economies Review, 2019, v. 30, n. 1, p. 105, doi. 10.1007/s11079-018-9506-z

By:

Melitz, Jacques

Publication type:

Article

Accuracy of Capital Asset Pricing Model and Arbitrage Pricing Theory in Predicting Stock Return.

Published in:

Journal of Namibian Studies, 2023, v. 34, p. 1539

By:

Hussein, Zahraa A.;
Mohammed, Mohammed J.

Publication type:

Article

Sequential Markets, Market Power, and Arbitrage<sup>†</sup>.

Published in:

American Economic Review, 2016, v. 106, n. 7, p. 1921, doi. 10.1257/aer.20141529

By:

Ito, Koichiro;
Reguant, Mar

Publication type:

Article

Can negative electricity prices encourage inefficient electrical energy storage devices?

Published in:

International Journal of Environmental Studies, 2014, v. 71, n. 6, p. 862, doi. 10.1080/00207233.2014.966968

By:

Barbour, Edward;
Wilson, Grant;
Hall, Peter;
Radcliffe, Jonathan

Publication type:

Article

Weak time-derivatives and no-arbitrage pricing.

Published in:

Finance & Stochastics, 2018, v. 22, n. 4, p. 1007, doi. 10.1007/s00780-018-0371-9

By:

Marinacci, Massimo;
Severino, Federico

Publication type:

Article

Equity prices and fundamentals: a DDM-APT mixed approach.

Published in:

Review of Quantitative Finance & Accounting, 2017, v. 49, n. 3, p. 661, doi. 10.1007/s11156-016-0604-y

By:

Jawadi, Fredj;
Prat, Georges

Publication type:

Article

The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA.

Published in:

Review of Quantitative Finance & Accounting, 2012, v. 38, n. 3, p. 347, doi. 10.1007/s11156-011-0232-5

By:

Simpson, Marc;
Moreno, Jose;
Ozuna, Teofilo

Publication type:

Article

Popularity and Asset Pricing.

Published in:

Journal of Investing, 2017, v. 26, n. 1, p. 46, doi. 10.3905/joi.2017.26.1.046

By:

IDZOREK, THOMAS M.;
IBBOTSON, ROGER G.

Publication type:

Article

Modelación de la relación rentabilidad-riesgo en el mercado accionario para países desarrollados y países emergentes en un mundo parcialmente integrado.

Published in:

Cuadernos de Administración, 2015, v. 31, n. 53, p. 38, doi. 10.25100/cdea.v31i53.15

By:

Botero Guzmán, Daniel;
Vecino Arenas, Carlos E.

Publication type:

Article

Forecasting risk and return of listed real estate:: A simulation approach with geometric Brownian motion for the German stock market.

Published in:

Zeitschrift für Immobilienökonomie, 2024, v. 10, n. 1/2, p. 1, doi. 10.1365/s41056-024-00070-4

By:

Lausberg, Carsten;
Brandt, Felix

Publication type:

Article

A simple derivation of risk-neutral probability in the binomial option pricing model.

Published in:

International Journal of Mathematical Education in Science & Technology, 2015, v. 46, n. 1, p. 142, doi. 10.1080/0020739X.2014.936979

By:

Orosi, Greg

Publication type:

Article

Macroeconomic State Variables and Stock Market Performance: A Systematic Review and Future Research Agenda.

Published in:

FIIB Business Review, 2024, v. 13, n. 2, p. 172, doi. 10.1177/2319714521995622

By:

Lone, Umer Mushtaq;
Darzi, Mushtaq Ahmad;
Bhat, Suhail Ahmad

Publication type:

Article

Macroeconomic vs. Statistical APT Approach in the Athens Stock Exchange.

Published in:

International Journal of Business, 2012, v. 17, n. 1, p. 39

By:

Spyridis, Theodoros;
Sevic, Zeljko;
Theriou, Nikolaos

Publication type:

Article

Nonlinear dependencies in the Fama and French three-factor model.

Published in:

Investment Analysts Journal, 2023, v. 52, n. 2, p. 106, doi. 10.1080/10293523.2023.2179162

By:

Bandurski, Jakub;
Postek, Łukasz

Publication type:

Article

Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse.

Published in:

Annals of Operations Research, 2018, v. 269, n. 1/2, p. 205, doi. 10.1007/s10479-017-2458-7

By:

Hasuike, Takashi;
Mehlawat, Mukesh Kumar

Publication type:

Article

Financial integration and the term structure of interest rates.

Published in:

Empirical Economics, 2013, v. 45, n. 3, p. 1267, doi. 10.1007/s00181-012-0652-7

By:

Traczyk, Adam

Publication type:

Article

Incorporating statistical model error into the calculation of acceptability prices of contingent claims.

Published in:

Mathematical Programming, 2019, v. 174, n. 1/2, p. 499, doi. 10.1007/s10107-018-1352-7

By:

Glanzer, Martin;
Pflug, Georg Ch.;
Pichler, Alois

Publication type:

Article

MACROECONOMIC INFLUENCE ON SHARES' RETURN STUDY CASE: ARBITRAGE PRICING THEORY (APT) APPLIED ON BUCHAREST STOCK EXCHANGE.

Published in:

Economic Computation & Economic Cybernetics Studies & Research, 2014, v. 48, n. 2, p. 1

By:

GEAMBAŞU, Cristina;
JIANU, Iulia;
HERTELIU, Claudiu;
GEAMBAŞU, Liviu

Publication type:

Article

Valuation of Structured Securities: RMBS Case Study.

Published in:

Journal of Structured Finance, 2012, v. 18, n. 3, p. 77, doi. 10.3905/jsf.2012.18.3.077

By:

BELBASE, EKNATH

Publication type:

Article

Arbitraj Fiyatlama Teorisinin Türkiye ekonomisinde geçerliliği: Küresel ekonomik kriz bağlamında ampirik bir analiz.

Published in:

Gazi Journal of Economics & Business, 2020, v. 6, n. 2, p. 179, doi. 10.30855/gjeb.2020.6.2.006

By:

Uslu, Hüseyin;
Uzkaralar, Önder

Publication type:

Article

COMBINING LOCAL AND GLOBAL MARKETS IN ASSET PRICING IN EMERGING MARKETS: EVIDENCE FROM THREE BRICS NATIONS.

Published in:

Journal of Developing Areas, 2015, v. 49, n. 3, p. 365, doi. 10.1353/jda.2015.0167

By:

Hakim, Shabir Ahmad;
Hamid, Zarinah;
Mydin Meera, Ahamed Kameel

Publication type:

Article

The market efficiency analysis of China's copper options based on risk-free arbitrages.

Published in:

Applied Economics, 2024, v. 56, n. 15, p. 1834, doi. 10.1080/00036846.2023.2301221

By:

Zhang, Huiming;
Ma, Zhen;
Qian, Siji

Publication type:

Article

DIVIDEND AND EXCESS RETURN IN CHINA.

Published in:

Asian Academy of Management Journal of Accounting & Finance, 2023, v. 19, n. 2, p. 105, doi. 10.21315/aamjaf2023.19.2.4

By:

Jiaqi Da;
Md. Nassir, Annuar;
Tek Wei Saw, Andrew;
Hui Zhang;
Wei Theng Lau

Publication type:

Article

COMPARATIVE ANALYSIS OF INVESTMENT RETURN CALCULATIONS BETWEEN SINGLE INDEX MODEL (SIM), CAPITAL ASSET PRICING MODEL (CAPM), AND ARBITRAGE PRICING THEORY (APT) IN 8 MINING COMPANY SECTORS.

Published in:

Eduvest: Journal Of Universal Studies, 2024, v. 4, n. 9, p. 7560

By:

Noviani, Dinda;
Natigor S., Dayan Hakim;
Sudaryo, Yoyo;
Sofiati, Nunung Ayu;
Sajekti, Tjipto

Publication type:

Article

ANALYSIS OF EXPECTED STOCK RETURNS IN 2020 - 2022 USING ARBITRAGE PRICING THEORY (STUDY ON STOCKS INCORPORATED WITH THE IDX-30 INDEX ON THE INDONESIA STOCK EXCHANGE).

Published in:

Eduvest: Journal Of Universal Studies, 2023, v. 3, n. 3, p. 626, doi. 10.59188/eduvest.v3i3.777

By:

Alfredo, Harold Kevin

Publication type:

Article

Pointwise Arbitrage Pricing Theory in Discrete Time.

Published in:

Mathematics of Operations Research, 2019, v. 44, n. 3, p. 1034, doi. 10.1287/moor.2018.0956

By:

Burzoni, Matteo;
Frittelli, Marco;
Hou, Zhaoxu;
Maggis, Marco;
Obłój, Jan

Publication type:

Article

Information in the Term Structure: A Forecasting Perspective.

Published in:

Management Science, 2021, v. 67, n. 8, p. 5255, doi. 10.1287/mnsc.2020.3715

By:

Doshi, Hitesh;
Jacobs, Kris;
Liu, Rui

Publication type:

Article

The Impact of the Last Two Presidential Periods on the Performance of the Indonesia Stock Exchanges: An Approach of Arbitrage Pricing Theory.

Published in:

Contemporary Economics, 2024, v. 18, n. 3, p. 301, doi. 10.5709/ce.1897-9254.539

By:

Garnia, Erna;
Riadi, Deden Rizal;
Tahmat, T.;
Nainggolan, Ida Margareta

Publication type:

Article

Arbitrage-free call option surface construction using regression splines.

Published in:

Applied Stochastic Models in Business & Industry, 2015, v. 31, n. 4, p. 515, doi. 10.1002/asmb.2045

By:

Orosi, Greg

Publication type:

Article

Sectoral Application of Asset Pricing Models on the Nigerian Stock Exchange: A Comparative Approach.

Published in:

Acta Universitatis Danubius: Œconomica, 2019, v. 15, n. 3, p. 404

By:

Taofeek, Agbatogun O.;
Ayodeji, Olowe R.

Publication type:

Article

Do Spot Prices Move towards Futures Prices? A Study on Crude Oil Market.

Published in:

Acta Universitatis Danubius: Œconomica, 2012, v. 8, n. 5, p. 166

By:

Nicolau, Mihaela

Publication type:

Article

Demand Effects in the FX Forward Market: Micro Evidence from Banks' Dollar Hedging.

Published in:

Review of Financial Studies, 2021, v. 34, n. 9, p. 4177, doi. 10.1093/rfs/hhaa123

By:

Puriya, Abbassi;
Bräuning, Falk

Publication type:

Article

Hysteresis in Price Efficiency and the Economics of Slow-Moving Capital.

Published in:

Review of Financial Studies, 2021, v. 34, n. 6, p. 2857, doi. 10.1093/rfs/hhaa110

By:

Dow, James;
Han, Jungsuk;
Sangiorgi, Francesco

Publication type:

Article

Macroeconomic-Driven Prepayment Risk and the Valuation of Mortgage-Backed Securities.

Published in:

Review of Financial Studies, 2018, v. 31, n. 3, p. 1132, doi. 10.1093/rfs/hhx140

By:

Chernov, Mikhail;
Dunn, Brett R.;
Longstaff, Francis A.

Publication type:

Article

Whale Optimization Algorithm for Multiconstraint Second-Order Stochastic Dominance Portfolio Optimization.

Published in:

Computational Intelligence & Neuroscience, 2020, p. 1, doi. 10.1155/2020/8834162

By:

Zhai, Q. H.;
Ye, T.;
Huang, M. X.;
Feng, S. L.;
Li, H.

Publication type:

Article

Did the Profitability of Momentum and Reversal Strategies Decline with Arbitrage Costs After the Turn of the Millennium?

Published in:

Journal of Portfolio Management, 2015, v. 41, n. 3, p. 70, doi. 10.3905/jpm.2015.41.3.070

By:

LEE, JIEUN;
OGDEN, JOSEPH P.

Publication type:

Article

The Impact of Political Risk and Macro Economics on Stock Return at Indonesia Stock Exchange (An Approach of Arbritage Pricing Theory (APT)).

Published in:

KnE Social Sciences, 2019, v. 2019, p. 744, doi. 10.18502/kss.v3i26.5412

By:

Siregar, Eddy Irsan;
Diana

Publication type:

Article

Retrospectives Irving Fisher's Appreciation and Interest (1896) and the Fisher Relation.

Published in:

Journal of Economic Perspectives, 2012, v. 26, n. 4, p. 185, doi. 10.1257/jep.26.4.185

By:

Dimand, Robert W;
Betancourt, Rebeca Gomez

Publication type:

Article

On the arbitrage price of European call options.

Published in:

Stochastic Models, 2017, v. 33, n. 1, p. 48, doi. 10.1080/15326349.2016.1200473

By:

Ernst, Philip

Publication type:

Article

Arbitrage Theory with State-Price Deflators.

Published in:

Stochastic Models, 2013, v. 29, n. 3, p. 306, doi. 10.1080/15326349.2013.808902

By:

Rambaud, SalvadorCruz

Publication type:

Article

Empirical Analysis of the Relationship Between Macroeconimic Factors and Stock Returns in Nigeria.

Published in:

Journal of Accounting & Management (2284-9459), 2018, v. 8, n. 3, p. 7

By:

English, Alex Ola

Publication type:

Article

IMPACT OF MACROECONOMIC VARIABLES ON ISLAMIC STOCK MARKET RETURNS: EVIDENCE FROM NIFTY 50 SHARIAH INDEX.

Published in:

Journal of Commerce & Accounting Research, 2017, v. 6, n. 1, p. 37

By:

Habib, Mohsina;
Islam, Khalid Ul

Publication type:

Article

DO MACROECONOMIC VARIABLES AFFECT STOCK RETURNS IN BRICS MARKETS? AN ARDL APPROACH.

Published in:

Journal of Commerce & Accounting Research, 2015, v. 4, n. 2, p. 1, doi. 10.21863/jcar/2015.4.2.008

By:

Tripathi, Vanita;
Kumar, Arnav

Publication type:

Article