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  • 1
    Electronic Resource
    Electronic Resource
    A NOTE ON THE GENERALIZED MULTIBETA CAPM (1994)
    Oxford, UK : Blackwell Publishing Ltd
    Mathematical finance 4 (1994), S. 0 
    Details
    ISSN: 1467-9965
    Source: Blackwell Publishing Journal Backfiles 1879-2005
    Topics: Mathematics , Economics
    Notes: The unified beta theory of Connor (1984) requires that the market portfolio be well diversified in a given factor structure. Wei (1988) extended Connor's results without relying on this assumption. This note provides an alternative to Wei's result by assuming that residuals from the projection of asset return on a set of k factors follow a joint elliptical distribution.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1111/j.1467-9965.1994.tb00050.x
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  • 2
    Electronic Resource
    Electronic Resource
    Multivariate regression tests of the arbitrage pricing theory: The instrumental-variables approach (1991)
    Springer
    Review of quantitative finance and accounting 1 (1991), S. 191-208 
    Details
    ISSN: 1573-7179
    Keywords: arbitrage pricing theory ; instrumental-variables approach ; OLS method ; proxy problem
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This article expands the theoretical basis upon which empirical testing of the arbitrage pricing theory (APT) rests. Specifically, it specifies linear restrictions for worlds in which the APT holds. These restrictions may, in principle, be tested. Since the regressors in the model are only “noisy” proxies for a specific linear transformation of the factors or mimicking portfolios, testing regressions suffer from an errors-in-variables problem. The standard econometric treatment for this problem is the instrumental-variables approach. A size-based example is employed to compare the test results derived from the instrumental-variables approach to those obtained via the ordinary least squares (OLS) method. The results from both methods cannot reject a two-factor APT for the size-sorted portfolio sample.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02409672
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  • 3
    Electronic Resource
    Electronic Resource
    Markowitz, miller, and sharpe: The first nobel laureates in finance (1991)
    Springer
    Review of quantitative finance and accounting 1 (1991), S. 209-228 
    Details
    ISSN: 1573-7179
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02409673
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  • 4
    Electronic Resource
    Electronic Resource
    Some Tests of the Risk-Return Relationship Using Alternative Asset Pricing Models and Observed Expected Returns (1998)
    Springer
    Review of quantitative finance and accounting 11 (1998), S. 69-91 
    Details
    ISSN: 1573-7179
    Keywords: asset pricing ; expected returns ; unified asset pricing model ; dividend discount model ; meta-analysis
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This study examines the performance of three asset pricing models: the CAPM, the APT and the UAPT using observed expected returns from a three-phase dividend discount model with Value Line analyst estimates of future company-level earnings, dividends and growth rates. Our study is the first we know of to test the three major asset pricing models using observed expected returns. Our results are similar to prior research using ex post (realized) returns in that we find that the UAPT using macroeconomic factors is the best performing model, followed by the APT and the CAPM. However, our results also suggest that the importance of macroeconomic factors is much greater to expected returns than to realized returns, and the corresponding R2 values for models using expected returns are much higher than for models using realized returns. Combining our results for the UAPT with those of Marston and Harris (1993) for the CAPM suggests that these models are more successful in tests using observed expected returns than in tests using realized returns as proxies for expected returns. Unit root tests suggest that monthly observed expected returns follow the classic “random walk without drift” model while monthly realized returns do not.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008292410561
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  • 5
    Electronic Resource
    Electronic Resource
    RECAP OF NINTH CONFERENCE ON FINANCIAL ECONOMICS AND ACCOUNTING (1999)
    Springer
    Review of quantitative finance and accounting 13 (1999), S. 209-219 
    Details
    ISSN: 1573-7179
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008356110131
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  • 6
    Electronic Resource
    Electronic Resource
    One Decade Review of the Annual Conference on Financial Economics and Accounting (2000)
    Springer
    Review of quantitative finance and accounting 14 (2000), S. 289-311 
    Details
    ISSN: 1573-7179
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008306631202
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  • 7
    Electronic Resource
    Electronic Resource
    Recap of Fifth Conference on Financial Economics and Accounting and the third Mitsui life symposium on global financial markets (1995)
    Springer
    Review of quantitative finance and accounting 5 (1995), S. 327-333 
    Details
    ISSN: 1573-7179
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01074845
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  • 8
    Electronic Resource
    Electronic Resource
    Characteristics of Earnings-Leading Versus Price-Leading Firms (1997)
    Springer
    Review of quantitative finance and accounting 8 (1997), S. 229-244 
    Details
    ISSN: 1573-7179
    Keywords: firm characteristics ; information content of earnings ; stock prices
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This study attempts to identify firm characteristics that explain the disparity between the information content of accounting earnings and stock prices. Granger's causality concept was employed to classify sample firms into four groups: price-leading firms, feedback-system firms, earnings-leading firms, and no-causation firms. The feedback-system firms were either combined with the no-causation firms or eliminated entirely to form three sample groups. The entire sample firms then were divided into two classes. The first is for estimation, and the second is for prediction. Results indicate that firm size, capital structure, R-square of regressing prices at time t against earnings at time t − 1, R-square of regressing earnings at time t against prices at time t − 1, and percentage of shares held by institutions are the significant explaining variables. The application of the coefficient estimates to the hold-out sample indicates that 76.2% of the firms can be correctly classified into the corresponding groups. These results were consistent with those from canonical discrimination and other multivariate statistical methods.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1023/A:1008210904315
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  • 9
    Electronic Resource
    Electronic Resource
    Recap of second conference on financial economics and accounting (1992)
    Springer
    Review of quantitative finance and accounting 2 (1992), S. 111-120 
    Details
    ISSN: 1573-7179
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00243988
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  • 10
    Electronic Resource
    Electronic Resource
    Alternate approach to unify CAPM and APT (1992)
    Springer
    Review of quantitative finance and accounting 2 (1992), S. 391-408 
    Details
    ISSN: 1573-7179
    Keywords: Asset pricing ; CAPM ; APT ; elliptical distributions
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We utilize the joint elliptical distribution to model a multi-factor return generating process and derive an equilibrium multi-beta capital asset pricing model (CAPM) in which the market portfolio and a set of nonelliptical factors are sufficient to price all financial assets. Most important, it is shown that the market portfolio, while generally nonelliptical, can proxy all elliptical factors and hence: including elliptical factors in addition to the market portfolio in the pricing equation contribute nothing to asset pricing. While the representative investor prices the exposure of aggregate wealth to various nonelliptical systematic risk factors, individual securities are priced in accordance to their contributions to different aspects of the risk of aggregate wealth. The present model collapses to the Sharpe-Lintner CAPM when either the market investor is neutral to nonelliptical risk factors or when all risk factors follow a joint spherical distribution. When residuals cancel out of the market portfolio, the present model collapses to Conner (1984) pricing model.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF00939019
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