Interpreting the factor risk premia in the arbitrage pricing theory

DOI10.1016/0022-0531(85)90071-7zbMATH Open0555.90016OpenAlexW1981252814MaRDI QIDQ761333FDOQ761333

Authors Anat R. Admati, Paul Pfleiderer 

Publication date 1985

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-0531(85)90071-7

zbMATH Keywords

arbitrage pricing theoryapproximate pricing relationexcess returns on portfolios

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

• A simple approach to arbitrage pricing theory
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• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Funds, Factors, and Diversification in Arbitrage Pricing Models

Cited In (5)

• On the empirical identification of risk factors in arbitrage pricing models
• Positive alphas and a generalized multiple-factor asset pricing model
• Arbitrage pricing theory in ergodic markets
• Arbitrage pricing theory and risk-neutral measures
• On the arbitrage pricing theory

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