Interpreting the factor risk premia in the arbitrage pricing theory

DOI10.1016/0022-0531(85)90071-7MaRDI QIDQ761333zbMATH OpenOpenAlexFDO

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

approximate pricing relationarbitrage pricing theoryexcess 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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Cited in

(6)

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

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