A unified beta pricing theory

DOI10.1016/0022-0531(84)90159-5MaRDI QIDQ798244zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3487169 (Why is no real title available?)
• A characterization of the distributions that imply mean-variance utility functions
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Mutual fund separation in financial theory - the separating distributions

Cited in

(31)

• scientific article; zbMATH DE number 1795845 (Why is no real title available?)
• A NOTE ON THE GENERALIZED MULTIBETA CAPM
• Portfolio dominance and optimality in infinite security markets
• On the \(R-\beta\) cross-sectional relation with proxy portfolio.
• Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing
• Factor representing portfolios in large asset markets
• On the empirical identification of risk factors in arbitrage pricing models
• Factor analysis and arbitrage pricing in large asset economies
• Interpreting the factor risk premia in the arbitrage pricing theory
• A PRICING OPERATOR‐BASED TESTING FOUNDATION FOR A CLASS OF FACTOR PRICING MODELS
• Equilibrium asset pricing and the cross section of expected returns
• Arbitrage pricing and the stochastic inflation tax in a multisector monetary economy
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• A novel explanation for idiosyncratic volatility anomaly: an asset decomposition perspective
• Asset Pricing in Multiperiod Securities Markets
• Bayesian variable selection and model averaging in the arbitrage pricing theory model
• The law of one accounting variable
• The arbitrage pricing theorem with incomplete preferences
• The lost capital asset pricing model
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Diversification and equilibrium in securities markets
• Prices as factors: approximate aggregation with incomplete markets.
• A testable version of the Pareto-Stable CAPM
• Arbitrage and Diversification in a General Equilibrium Asset Economy
• Equilibrium asset pricing: with non-Gaussian factors and exponential utilities
• On the arbitrage pricing theory
• Estimating stable latent factor models by indirect inference
• Some comments on the APT
• Beta in Linear Risk Tolerance Economies
• Robustness of the market model
• EFFICIENCY GAINS IN BETA‐PRICING MODELS¹

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