On the empirical identification of risk factors in arbitrage pricing models

DOI10.1007/BF01539864MaRDI QIDQ1387945zbMATH OpenOpenAlexFDO

Authors Alfred Hamerle, Daniel Rösch

Publication date 8 June 1998

Published in OR Spektrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01539864

zbMATH Keywords

factor modelsarbitrage pricingportfolio managementstock returnsmultiple cross-sectional regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Recommendations

• Estimating the arbitrage pricing theory with observed macro factors
• Pricing errors and estimates of risk premia in factor models
• On tests of the arbitrage pricing theory
• Explaining the single factor bias of arbitrage pricing models in finite samples
• Factor analysis and arbitrage pricing in large asset economies

Cites work

• A unified beta pricing theory
• Common risk factors in the returns on stocks and bonds
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Interpreting the factor risk premia in the arbitrage pricing theory
• On tests of the arbitrage pricing theory

Cited in

(9)

• Finding the relevant risk factors for asset pricing
• Explaining the single factor bias of arbitrage pricing models in finite samples
• Financial sector risk and the stock returns: evidence from Tokyo Stock Exchange firms
• On the spurious correlation between sample betas and mean returns
• Price returns efficiency of the Shanghai A-Shares
• Irrational exuberance reconsidered. The cross section of stock returns.
• Unexplained factors and their effects on second pass \(R\)-squared's
• Common risk factors in the returns on stocks and bonds
• Pricing errors and estimates of risk premia in factor models

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