References in periodicals archive ?
Stephen, 1980, "An Empirical Investigation of the Arbitrage Pricing Theory," Journal of Finance, Vol.
2010), 'Bayesian Variable Selection and Model Averaging in the Arbitrage Pricing Theory Model,' Computational Statistics and Data Analysis, 54 (2010), pp.
The paper tests whether a GARCH measure of income uncertainty is a priced factor in the arbitrage pricing theory.
These include the more traditional comparable earnings and discounted cash flow (dcf) approaches; and the more modern capital asset pricing model (CAMP), with the closely related arbitrage pricing theory.
1) The paper extends Ross's [1976] arbitrage pricing theory to an international environment with PPP deviations.