Arbeitspapier
Arbitrage pricing theory
Focusing on capital asset returns governed by a factor structure, the Arbitrage Pricing Theory (APT) is a one-period model, in which preclusion of arbitrage over static portfolios of these assets leads to a linear relation between the expected return and its covariance with the factors. The APT, however, does not preclude arbitrage over dynamic portfolios. Consequently, applying the model to evaluate managed portfolios is contradictory to the no-arbitrage spirit of the model. An empirical test of the APT entails a procedure to identify features of the underlying factor structure rather than merely a collection of mean-variance efficient factor portfolios that satisfies the linear relation.
- Language
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Englisch
- Bibliographic citation
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Series: Staff Report ; No. 216
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
-
arbitrage
asset pricing model
factor model
Arbitrage Pricing
Capital Asset Pricing Model
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Huberman, Gur
- Event
-
Veröffentlichung
- (who)
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Federal Reserve Bank of New York
- (where)
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New York, NY
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Huberman, Gur
- Federal Reserve Bank of New York
Time of origin
- 2005
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