A unified beta pricing theory

DOI10.1016/0022-0531(84)90159-5zbMATH Open0545.90009OpenAlexW2102277992MaRDI QIDQ798244FDOQ798244

Authors: Gregory Connor 

Publication date: 1984

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

Full work available at URL: http://eprints.maynoothuniversity.ie/5416/1/CG-Pricing-Theory.pdf

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zbMATH Keywords

arbitrage pricingcompetitive equilibriumportfolio choiceidiosyncratic riskAsset pricingbeta pricing theorymutual fund separation theory

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) General equilibrium theory (91B50)

Cites Work

• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Mutual fund separation in financial theory - the separating distributions
• Title not available (Why is that?)
• A characterization of the distributions that imply mean-variance utility functions

Cited In (28)

• On the empirical identification of risk factors in arbitrage pricing models
• A novel explanation for idiosyncratic volatility anomaly: an asset decomposition perspective
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
• Asset Pricing in Multiperiod Securities Markets
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Prices as factors: approximate aggregation with incomplete markets.
• A testable version of the Pareto-Stable CAPM
• A NOTE ON THE GENERALIZED MULTIBETA CAPM
• Estimating stable latent factor models by indirect inference
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Some comments on the APT
• Diversification and equilibrium in securities markets
• Portfolio dominance and optimality in infinite security markets
• Factor analysis and arbitrage pricing in large asset economies
• Beta in Linear Risk Tolerance Economies
• Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy
• Interpreting the factor risk premia in the arbitrage pricing theory
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Robustness of the market model
• EFFICIENCY GAINS IN BETA‐PRICING MODELS¹
• Title not available (Why is that?)
• Factor representing portfolios in large asset markets
• Equilibrium asset pricing and the cross section of expected returns
• A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
• The arbitrage pricing theorem with incomplete preferences
• On the arbitrage pricing theory
• On the \(R-\beta\) cross-sectional relation with proxy portfolio.
• Bayesian variable selection and model averaging in the arbitrage pricing theory model

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