New methods for the arbitrage pricing theory and the present value model:
This dissertation consists of two essays on developing new methods for testing the Arbitrage Pricing Theory (APT) and the Present Value Model (PVM), and one essay on correcting heteroskedasticity and cross-sectional correlation in panel study by using the Newey-West Adjustment Matrix
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Singapore u.a.
World Scientific
1994
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| Schlagworte: | |
| Zusammenfassung: | This dissertation consists of two essays on developing new methods for testing the Arbitrage Pricing Theory (APT) and the Present Value Model (PVM), and one essay on correcting heteroskedasticity and cross-sectional correlation in panel study by using the Newey-West Adjustment Matrix In the first essay, I develop an autoregressive method for testing the APT. Unlike methods currently being used in the literature, this method does not require prior estimation of factor loadings and risk premia. The new methodology is based on the observation that past returns of an asset carry information about its exposure to systematic risks and thus can be used to construct ex post risk adjustments for the asset via a cross-sectional autoregressive model. I derive several testable implications of the APT and drop a crucial assumption that factor risk premia are constant. The approach is robust to changes in factor loadings in some cases. I find little evidence that firm size contribute additional explanatory power to that of factor loadings in the APT model The second essay studies the rational expectations present value model with variable expected returns. I develop an econometric method with which (i) to test a general model of expected returns and (ii) to test a linearalized version of the present value model. I find that share dividend-price ratios carry information about the structure of future dividend growth. I also find that the rejection of the present value model is dependent upon the variability of expected returns |
| Beschreibung: | X, 111 S. |
| ISBN: | 9810218397 |
Internformat
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| 264 | 1 | |a Singapore u.a. |b World Scientific |c 1994 | |
| 300 | |a X, 111 S. | ||
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| 520 | 3 | |a This dissertation consists of two essays on developing new methods for testing the Arbitrage Pricing Theory (APT) and the Present Value Model (PVM), and one essay on correcting heteroskedasticity and cross-sectional correlation in panel study by using the Newey-West Adjustment Matrix | |
| 520 | |a In the first essay, I develop an autoregressive method for testing the APT. Unlike methods currently being used in the literature, this method does not require prior estimation of factor loadings and risk premia. The new methodology is based on the observation that past returns of an asset carry information about its exposure to systematic risks and thus can be used to construct ex post risk adjustments for the asset via a cross-sectional autoregressive model. I derive several testable implications of the APT and drop a crucial assumption that factor risk premia are constant. The approach is robust to changes in factor loadings in some cases. I find little evidence that firm size contribute additional explanatory power to that of factor loadings in the APT model | ||
| 520 | |a The second essay studies the rational expectations present value model with variable expected returns. I develop an econometric method with which (i) to test a general model of expected returns and (ii) to test a linearalized version of the present value model. I find that share dividend-price ratios carry information about the structure of future dividend growth. I also find that the rejection of the present value model is dependent upon the variability of expected returns | ||
| 650 | 7 | |a Effectenhandel |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Speculation -- Mathematical models | |
| 650 | 4 | |a Arbitrage -- Mathematical models | |
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| 650 | 0 | 7 | |a Arbitrage-Pricing-Theorie |0 (DE-588)4112584-8 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1804124578238169088 |
|---|---|
| any_adam_object | |
| author | Mei, Jianping |
| author_facet | Mei, Jianping |
| author_role | aut |
| author_sort | Mei, Jianping |
| author_variant | j m jm |
| building | Verbundindex |
| bvnumber | BV010179638 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6041 |
| callnumber-raw | HG6041.M45 1994 |
| callnumber-search | HG6041.M45 1994 |
| callnumber-sort | HG 46041 M45 41994 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)31045063 (DE-599)BVBBV010179638 |
| dewey-full | 332.64/520 332.64/5 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/5 20 332.64/5 |
| dewey-search | 332.64/5 20 332.64/5 |
| dewey-sort | 3332.64 15 220 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| genre_facet | Aufsatzsammlung |
| id | DE-604.BV010179638 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T17:47:53Z |
| institution | BVB |
| isbn | 9810218397 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-006761891 |
| oclc_num | 31045063 |
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| owner_facet | DE-739 DE-12 DE-521 DE-11 |
| physical | X, 111 S. |
| publishDate | 1994 |
| publishDateSearch | 1994 |
| publishDateSort | 1994 |
| publisher | World Scientific |
| record_format | marc |
| spelling | Mei, Jianping Verfasser aut New methods for the arbitrage pricing theory and the present value model Jianping Mei Singapore u.a. World Scientific 1994 X, 111 S. txt rdacontent n rdamedia nc rdacarrier This dissertation consists of two essays on developing new methods for testing the Arbitrage Pricing Theory (APT) and the Present Value Model (PVM), and one essay on correcting heteroskedasticity and cross-sectional correlation in panel study by using the Newey-West Adjustment Matrix In the first essay, I develop an autoregressive method for testing the APT. Unlike methods currently being used in the literature, this method does not require prior estimation of factor loadings and risk premia. The new methodology is based on the observation that past returns of an asset carry information about its exposure to systematic risks and thus can be used to construct ex post risk adjustments for the asset via a cross-sectional autoregressive model. I derive several testable implications of the APT and drop a crucial assumption that factor risk premia are constant. The approach is robust to changes in factor loadings in some cases. I find little evidence that firm size contribute additional explanatory power to that of factor loadings in the APT model The second essay studies the rational expectations present value model with variable expected returns. I develop an econometric method with which (i) to test a general model of expected returns and (ii) to test a linearalized version of the present value model. I find that share dividend-price ratios carry information about the structure of future dividend growth. I also find that the rejection of the present value model is dependent upon the variability of expected returns Effectenhandel gtt Mathematisches Modell Speculation -- Mathematical models Arbitrage -- Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kapitalmarkttheorie (DE-588)4137411-3 s DE-604 Arbitrage-Pricing-Theorie (DE-588)4112584-8 s |
| spellingShingle | Mei, Jianping New methods for the arbitrage pricing theory and the present value model Effectenhandel gtt Mathematisches Modell Speculation -- Mathematical models Arbitrage -- Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd |
| subject_GND | (DE-588)4137411-3 (DE-588)4112584-8 (DE-588)4143413-4 |
| title | New methods for the arbitrage pricing theory and the present value model |
| title_auth | New methods for the arbitrage pricing theory and the present value model |
| title_exact_search | New methods for the arbitrage pricing theory and the present value model |
| title_full | New methods for the arbitrage pricing theory and the present value model Jianping Mei |
| title_fullStr | New methods for the arbitrage pricing theory and the present value model Jianping Mei |
| title_full_unstemmed | New methods for the arbitrage pricing theory and the present value model Jianping Mei |
| title_short | New methods for the arbitrage pricing theory and the present value model |
| title_sort | new methods for the arbitrage pricing theory and the present value model |
| topic | Effectenhandel gtt Mathematisches Modell Speculation -- Mathematical models Arbitrage -- Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd |
| topic_facet | Effectenhandel Mathematisches Modell Speculation -- Mathematical models Arbitrage -- Mathematical models Kapitalmarkttheorie Arbitrage-Pricing-Theorie Aufsatzsammlung |
| work_keys_str_mv | AT meijianping newmethodsforthearbitragepricingtheoryandthepresentvaluemodel |