Measuring the Pricing Error of the Arbitrage Pricing Theory

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dc.contributor.author Geweke, J
dc.contributor.author Zhou, G
dc.date.accessioned 2010-05-28T09:53:21Z
dc.date.issued 1996-06
dc.identifier.citation Review of Financial Studies, 1996, 9 (2), pp. 557 - 587
dc.identifier.issn 0893-9454
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/9994
dc.description.abstract This article provides an exact Bayesian framework for analyzing the arbitrage pricing theory (APT). Based on the Gibbs sampler, we show how to obtain the exact posterior distributions for functions of interest in the factor model. In particular, we propose a measure of the APT pricing deviations and obtain its exact posterior distribution. Using monthly portfolio returns grouped by industry and market capitalization, we find that there is little improvement in reducing the pricing errors by including more factors beyond the first one.
dc.language eng
dc.title Measuring the Pricing Error of the Arbitrage Pricing Theory
dc.type Journal Article
dc.parent Review of Financial Studies
dc.journal.volume 2
dc.journal.volume 9
dc.journal.number 2 en_US
dc.publocation Oxford en_US
dc.identifier.startpage 557 en_US
dc.identifier.endpage 587 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 140207 Financial Economics
dc.personcode 101228
dc.percentage 100 en_US
dc.classification.name Financial Economics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
pubs.organisational-group /University of Technology Sydney/Faculty of Business/Economics
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history Closed (ID: 3)


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