Table of contents
Theory Succession, the CAPM, and the APT
Robert W. KolbPhilosophers and historians of science, along with scientists themselves, have long been interested in the problem of theory succession: “How does one theory supersede another?”…
APT With Observed Factors and Conditional Heteroskedasticity
Gregory Koutmos, Panayiotis TheodossiouSeveral authors have raised the issue of non‐stationarity of security returns in empirical tests of the Arbitrage Pricing Theory (APT). This paper tests for one form of…
The Arbitrage Pricing Theory and Foreign Exchange Risk Premia
Lee Sarver, George C. PhilippatosThis study explores the nature of the spot foreign exchange risk premium. Employing Ross's Arbitrage Pricing Theory (APT) as a vehicle, it tests the hypothesis that…
An Application of the Arbitrage Pricing Theory Using Canonical Correlation Analysis
Andreas C. Christofi, Petros C. Christofi, George C. PhilippatosThis paper demonstrates an application of the Arbitrage Pricing Theory using canonical analysis as an alternative to the conventional factor analysis. Following the traditional…
Using Canonical Correlation to Identify Arbitrage Pricing Theory Factors
Carl B. McGowan, William DobsonThis paper presents a new research design to test the efficacy of the Arbitrage Pricing Theory of Ross [1976], similar to that applied by Christofi, Christofi and Philippatos…
ISSN:
0307-4358e-ISSN:
1758-7743ISSN-L:
0307-4358Online date, start – end:
1975Copyright Holder:
Emerald Publishing LimitedOpen Access:
hybridEditor:
- Professor Don Johnson