On the empirical identification of risk factors in arbitrage pricing models

DOI10.1007/BF01539864zbMath0905.90011OpenAlexW1573842165MaRDI QIDQ1387945

Daniel Rösch, Alfred Hamerle

Publication date: 8 June 1998

Published in: OR Spektrum (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01539864

zbMATH Keywords

stock returnsarbitrage pricingportfolio managementfactor modelsmultiple cross-sectional regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Interpreting the factor risk premia in the arbitrage pricing theory
• On tests of the arbitrage pricing theory
• A unified beta pricing theory
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Common risk factors in the returns on stocks and bonds

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