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analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining … factor versions of the theory …
Persistent link: https://www.econbiz.de/10012477354
selected aspects of the current empirical state of asset pricing theory …
Persistent link: https://www.econbiz.de/10012474936
The efficient markets hypothesis has dominated modern research on asset prices. Asset prices and their intrinsic values differ in inefficient financial markets but difficulties in the measurement of intrinsic value greatly complicate market efficiency tests. Reflections on the measurement of...
Persistent link: https://www.econbiz.de/10012475116
These notes discuss three aspects of dynamic factor pricing (i.e., APT) models. The first one is that diversifiable idiosyncratic risk is unpredictable in a no-arbitrage world. The second feature is that the conditional factor loadings or betas on the common factors are approximately constant...
Persistent link: https://www.econbiz.de/10012475334