New methods for the arbitrage pricing theory and the present value model:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific
c1994
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Beschreibung: | Includes bibliographical references 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 The third essay is an outcome of joint work with Whitney Newey. We show that the Newey-West adjustment matrix can be very useful for correcting heteroskedasticity and cross-sectional correlation in panel studies. We apply that adjustment procedure to the vector autoregression model of Holtz-Eakin, Newey and Rosen and develop a chi-square test to determine the number of pervasive economic factors in an approximate factor model. Our empirical results suggest there are at least seven factors in the economy that affect returns of securities listed on the New York Stock Exchange from 1987-1988 |
| Beschreibung: | 1 Online-Ressource (x, 111 p.) |
| ISBN: | 9789814354042 981435404X 9810218397 9789810218393 |
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| 245 | 1 | 0 | |a New methods for the arbitrage pricing theory and the present value model |c Jianping Mei |
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| 500 | |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 | ||
| 500 | |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 | ||
| 500 | |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 | ||
| 500 | |a The third essay is an outcome of joint work with Whitney Newey. We show that the Newey-West adjustment matrix can be very useful for correcting heteroskedasticity and cross-sectional correlation in panel studies. We apply that adjustment procedure to the vector autoregression model of Holtz-Eakin, Newey and Rosen and develop a chi-square test to determine the number of pervasive economic factors in an approximate factor model. Our empirical results suggest there are at least seven factors in the economy that affect returns of securities listed on the New York Stock Exchange from 1987-1988 | ||
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Datensatz im Suchindex
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| any_adam_object | |
| author | Mei, Jianping |
| author_facet | Mei, Jianping |
| author_role | aut |
| author_sort | Mei, Jianping |
| author_variant | j m jm |
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| bvnumber | BV042959303 |
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| ctrlnum | (OCoLC)844939574 (DE-599)BVBBV042959303 |
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| dewey-ones | 332 - Financial economics |
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| dewey-tens | 330 - Economics |
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| spelling | Mei, Jianping Verfasser aut New methods for the arbitrage pricing theory and the present value model Jianping Mei Singapore World Scientific c1994 1 Online-Ressource (x, 111 p.) txt rdacontent c rdamedia cr rdacarrier Includes bibliographical references 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 The third essay is an outcome of joint work with Whitney Newey. We show that the Newey-West adjustment matrix can be very useful for correcting heteroskedasticity and cross-sectional correlation in panel studies. We apply that adjustment procedure to the vector autoregression model of Holtz-Eakin, Newey and Rosen and develop a chi-square test to determine the number of pervasive economic factors in an approximate factor model. Our empirical results suggest there are at least seven factors in the economy that affect returns of securities listed on the New York Stock Exchange from 1987-1988 Effectenhandel gtt Kapitalmarkttheorie swd Aufsatzsammlung swd Arbitrage-Pricing-Theorie swd BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Arbitrage / Mathematical models fast Speculation / Mathematical models fast Mathematisches Modell Wirtschaft Speculation Mathematical models Arbitrage Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd rswk-swf 1\p (DE-588)4143413-4 Aufsatzsammlung gnd-content Arbitrage-Pricing-Theorie (DE-588)4112584-8 s 2\p DE-604 Kapitalmarkttheorie (DE-588)4137411-3 s 3\p DE-604 http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=579452 Aggregator Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mei, Jianping New methods for the arbitrage pricing theory and the present value model Effectenhandel gtt Kapitalmarkttheorie swd Aufsatzsammlung swd Arbitrage-Pricing-Theorie swd BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Arbitrage / Mathematical models fast Speculation / Mathematical models fast Mathematisches Modell Wirtschaft 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 Kapitalmarkttheorie swd Aufsatzsammlung swd Arbitrage-Pricing-Theorie swd BUSINESS & ECONOMICS / Investments & Securities / General bisacsh Arbitrage / Mathematical models fast Speculation / Mathematical models fast Mathematisches Modell Wirtschaft Speculation Mathematical models Arbitrage Mathematical models Kapitalmarkttheorie (DE-588)4137411-3 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd |
| topic_facet | Effectenhandel Kapitalmarkttheorie Aufsatzsammlung Arbitrage-Pricing-Theorie BUSINESS & ECONOMICS / Investments & Securities / General Arbitrage / Mathematical models Speculation / Mathematical models Mathematisches Modell Wirtschaft Speculation Mathematical models Arbitrage Mathematical models |
| url | http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=579452 |
| work_keys_str_mv | AT meijianping newmethodsforthearbitragepricingtheoryandthepresentvaluemodel |