A SEMIAUTOREGRESSION APPROACH TO THE ARBITRAGE PRICING THEORY

• 成果类型: Article
• 署名作者: MEI, JP
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2328914
• 发表日期: 1993
• 页码: 599-620
• 关键词: SECURITY RETURNS; stock returns; tests; RISK; models; APT

摘要

This paper developes a semiautoregression (SAR) approach to estimate factors of the arbitrage pricing theory (APT) that has the advantage of providing a simple asymptotic variance-covariance matrix for the factor estimates, which makes it easy to adjust for measurement errors. Using the extracted factors, I confirm the finding that the APT describes asset returns slightly better than the CAPM, although there is still some mispricing in the APT model. I find that not only are the factors ''priced'' by the market, but the factor premiums move over time in relation to business cycle variables.