Relevant bibliographies by topics / Non arbitrage pricing theory

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Academic literature on the topic 'Non arbitrage pricing theory'

Author: Grafiati
Published: 4 June 2021
Last updated: 18 February 2022

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Journal articles on the topic "Non arbitrage pricing theory"

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Abdillah, Arif, and Aditya Kristamtomo Putra. "Analisis Perbandingan Keakuratan CAPM Dan APT Dalam Upaya Pengambilan Keputusan Investasi Saham Sektor Perbankan." JURNAL AKUNTANSI DAN BISNIS : Jurnal Program Studi Akuntansi 7, no. 1 (May 27, 2021): 42–50. http://dx.doi.org/10.31289/jab.v7i1.4336.

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The Capital Asset Pricing Model and the Arbitrage Pricing Theory are a balance model that uses risk measurement variables to see risk correlations and returns. This research is descriptive quantitative. The purpose of this research is to find out how much the value of stock returns in the banking sector is calculated by the Capital Asset Pricing Model and Arbitrage Pricing Theory, looking for a more accurate model and how big is the difference in accuracy of the significant accuracy of the Capital Asset Pricing Model and Arbitrage Pricing Theory in making investment decisions in the banking sector. The population in this study is a banking company registered at Indonesia Stock Exchange during 2015-2018. The sample in this study amounted to 36 banking companies listed on the Indonesia Stock Exchange during 2015-2018. The sampling method is a non-probability sampling method that is purposive sampling technique. The results of this study indicate that the Capital Asset Pricing Model is better than the Arbitrage Pricing Theory and there is no difference in accuracy between the Capital Asset Pricing Model and the Arbitrage Pricing Theory in an investment decision making effort at banking sector.
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Cummins, J. David. "Asset Pricing Models and Insurance Ratemaking." ASTIN Bulletin 20, no. 2 (November 1990): 125–66. http://dx.doi.org/10.2143/ast.20.2.2005438.

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AbstractThis paper provides an introduction to asset pricing theory and its applications in non-life insurance. The first part of the paper presents a basic review of asset pricing models, including discrete and continuous time capital asset pricing models (the CAPM and ICAPM), arbitrage pricing theory (APT), and option pricing theory (OPT). The second part discusses applications in non-life insurance. Among the insurance models reviewed are the insurance CAPM, discrete time discounted cash flow models, option pricing models, and more general continuous time models. The paper concludes that the integration of actuarial and financial theory can provide major advances in insurance pricing and financial management.
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Ruge-Leiva, Diego Iván. "The impact of Kiyoshi Ito´s stochastic calculus of financial economics." ODEON, no. 10 (October 6, 2016): 157. http://dx.doi.org/10.18601/17941113.n10.07.

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We discuss the direct or indirect incorporation into financial economics of Kiyoshi Itô´s work on stochastic calculus, particularly the Itô formula, the relevance of his findings for option pricing theory and the way his work has been used to find a unique option pricing function in a competitive and non-arbitrage market. On that basis, we discuss how the option pricing theory may be linked with the general equilibrium theory and other aspects of conventional economics, and finally, Itô’s role in econophysics.
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Francová, Blanka. "An Analysis of the Impact of Selected Factors on the Bond Market." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 66, no. 6 (2018): 1451–58. http://dx.doi.org/10.11118/actaun201866061451.

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Exchange rate risk is important factor for the valuation of capital asset on international markets. According to the International Arbitrage Pricing Theory currency movements affect the prices of capital assets and associated risk premiums. The International Arbitrage Pricing Theory is based on total return of asset decomposition to non‑currency return and currency return. The currency return is defined by exchange rate risk and the non‑currency return is defined by factors affecting the price of capital assets. We propose an empirical model to apply this theory using corporate bonds. Using a rich dataset from Morningstar in the period 2001–2017 we employ the linear regression analysis method OLS with fixed effects. We apply the model for different bond yields and different time‑series. The factors influence bond price differently for each yield and each time‑series. Our results confirm that currency movements significantly affect the bond prices.
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Ataullah, Ali. "Macroeconomic Variables as Common Pervasive Risk Factors and Empirical Content of the Arbitrage Pricing Theory in Pakistan." LAHORE JOURNAL OF ECONOMICS 6, no. 1 (January 1, 2001): 55–74. http://dx.doi.org/10.35536/lje.2001.v6.i1.a3.

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The Arbitrage Pricing Theory (APT) of Ross [1976] is one of the most important building blocks of modern asset pricing theory, and the prime alternative to the celebrated Capital Asset Pricing Model (CAPM) of Sharpe [1964], Lintner [1965], and others. This paper briefly reviews the theoretical underpinnings underlying the APT and highlights the econometric techniques used to test the APT with pre-specified macroeconomic factors. Besides this, the prime objective of this study is to perform an empirical test of the APT in the Pakistani stock market by using pre-specified macroeconomic factors and employing Iterative Non-Linear Seemingly Unrelated Regressions (ITNLSUR). These empirical results will be, hopefully, helpful for corporate managers undertaking cost of capital calculations, for domestic and international fund managers making investment decisions and, amongst others, for individual investors who wish to assess the performance of managed funds.
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Beaulieu, Marie-Claude, Jean-Marie Dufour, and Lynda Khalaf. "Identification-Robust Factor Pricing: Canadian Evidence." Articles 91, no. 1-2 (May 20, 2016): 235–52. http://dx.doi.org/10.7202/1036920ar.

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We analyze factor models based on the Arbitrage Pricing Theory (APT). using identification-robust inference methods. Such models involve nonlinear reduced-rank restrictions whose identification may raise serious non-regularities and lead to a failure of standard asymptotic theory. We build confidence sets for structural parameters based on inverting Hotelling-type pivotal statistics. These confidence sets provide much more information than the corresponding tests. Our approach may be interpreted as a multivariate extension of the Fieller method for inference on mean ratios. We also introduce a formal definition for a redundant factor linking the presence of such factors to unbounded confidence sets, and we document their perverse effects on minimum-root-based model tests. Results are applied to multifactor asset-pricing models with Canadian data, the Fama-French-Carhart benchmarks and monthly returns of 25 portfolios from 1991 to 2010. Despite evidence of weak identification, several findings deserve notice when data are analyzed over ten-year subperiods. With equally weighted portfolios, the three-factor model is rejected before 2000, but weakly supported thereafter. In contrast, the three-factor model is not rejected with value-weighted portfolios. Interestingly in this case, the market factor is priced before 2000 along with size, while both Fama-French factors are priced thereafter. The momentum factor severely compromises identification, which calls for caution in interpreting existing work documenting momentum effects on the Canadian market. This empirical analysis underscores the practical usefulness of our analytical confidence sets.
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Hassan, Waqar Ul, Zeeshan Hasnain, and Shahbaz Hussain. "Evaluating the Effectiveness of Asset Pricing Model before, during and after Financial Crisis 2008: Evidence from Karachi Stock Exchange." Business and Economic Research 7, no. 1 (April 23, 2017): 177. http://dx.doi.org/10.5296/ber.v7i1.11106.

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The Study aims to explore the strength of arbitrage pricing model (APT) for determining stock returns of Karachi stock exchange (KSE) across three distinct and structured periods; before financial crisis period (2006-07), during financial crisis period (2008) and after financial crisis period (2009-10). The Study adopted descriptive statistics, Pearson correlation, linear regression, Random effect model for interpretation and execution of data. 253 financial and non-financial listed companies on KSE for the period of (2006-10) are considered as sample firms. Results of regression analysis indicated that models selected for the present study showed poor performance for measuring KSE returns. Independent variables showed significant behavior for measuring KSE returns in pre-financial crisis period; no statistical relationship for measuring KSE returns in during financial crisis period; insignificant nature for measuring KSE returns the post-financial crisis period. The Study has provided understandings about arbitrage theory applicability and financial crisis - 2008 impacts on KSE.
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Van Rensburg, Paul. "Macroeconomic identification of the priced APT factors on the Johannesburg Stock Exchange." South African Journal of Business Management 27, no. 4 (December 31, 1996): 104–12. http://dx.doi.org/10.4102/sajbm.v28i4.815.

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Employing prespecified macroeconomic variables as potential priced factors, the Arbitrage Pricing Theory (APT) may be modelled as a non-linear seemingly unrelated regression with across equation restrictions. This portrayal allows for the simultaneous estimation of factor sensitivities and the risk premium associated with each factor. The following macroeconomic variables were tested as potential factors: unexpected movements in (rand) gold returns. (dollar) returns on the Dow-Jones Industrial Index, the term structure of interest rates and inflation expectations together with the 'residual market factor' of Burmeister Wall. Using iterated non-linear seemingly unrelated regression (ITNLSUR) estimation techniques, it was found that all of the above variables except for gold price risk are priced, that is, are associated with statistically significant risk premia.
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Van Rensburg, Paul. "Macroeconomic variables and the cross-section of Johannesburg Stock Exchange returns." South African Journal of Business Management 31, no. 1 (March 31, 2000): 31–43. http://dx.doi.org/10.4102/sajbm.v31i1.732.

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This study adopts the Chen, Roll Ross prespecified variable approach to priced arbitrage pricing theory factor (APT) identification on the Johannesburg Stock Exchange (JSE). It is observed that the dichotomy in the return generating processes underlying South African mining and industrial shares leads to cross-sectional correlations in the residual errors of linear factor models that do not employ factor analytically extracted explanatory variables. As a result, a 'two residual market factor' approach is introduced in this study. Employing the iterated non-linear seemingly unrelated regression technique of McElroy Burmeister (1988), it is found that the rand gold price, the rate on long bonds, the Dow-Jones Industrial Index and the level of gold and foreign exchange reserves together with the Industrial and All-Gold residual market factors represent priced sources of risk within the framework of the APT over the period 1985 to 1995. The pricing relationships estimated are found to be inconsistent with those implied by the capital asset pricing model. These results are robust across the 'unconstrained intercept' and 'zero beta' cross-sectional model specifications. The findings of the study, however, imply that the influence of macroeconomic variables on the JSE is most parsimoniously expressed in the two factor APT model of Van Rensburg Slaney (1997).
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CHIU, KAI-CHUN, and LEI XU. "NFA FOR FACTOR NUMBER DETERMINATION IN APT." International Journal of Theoretical and Applied Finance 07, no. 03 (May 2004): 253–67. http://dx.doi.org/10.1142/s021902490400244x.

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In the context of quantitative analysis of the arbitrage pricing theory (APT) model, conventional factor analytic approaches such as maximum likelihood factor analysis (MLFA) cannot provide satisfactory answers to two important questions. The first one concerns the correct identification of factor number while the second one is related to the rotation indeterminacy of factor loadings. In the literature, MLFA followed by likelihood ratio (LR) test and the analysis of eigenvalues of sample covariance matrix were two popular approaches used to determine the appropriate number of factors. However, it was shown empirically that both of them suffered from different kinds of biases. We find the recently developed non-gaussian factor analysis (NFA) model by Xu [24] provides a new perspective for the determination of the appropriate factor number k in APT, with promising empirical results demonstrated.
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Dissertations / Theses on the topic "Non arbitrage pricing theory"

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Mengler, Jan. "Arbitrage Pricing Theory." Master's thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-77153.

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Determination of the stock expected return is an important element of asset management. This paper presents an Arbitrage Pricing Theory model, which strives to estimate the expected return explaining the historical volatility of the stock prices. This paper presents the model as it was introduced, necessary extension for application to a small market included. Statistical methods on which the model has been build are discussed -- factor analysis completed by principal component analysis. In the practical part, the model is applied to the Czech market with an assessment of the success of the application. The forces which were expected to represent risk factors for the market have been examined as well. It will be shown that the model may contribute to the understanding of risk behaviour of the stocks.
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Bernat, Liana Oliveira. "Arbitrage pricing theory in international markets." Universidade de São Paulo, 2011. http://www.teses.usp.br/teses/disponiveis/12/12138/tde-01122011-203538/.

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This dissertation studies the impact of multiple pre-specified sources of risk in the return of three non-overlapping groups of countries, through an Arbitrage Pricing Theory (APT) model. The groups are composed of emerging and developed markets. Emerging markets have become important players in the world economy, especially as capital receptors, but they were not included in the majority of previous related works. Two strategies are used to choose two set of risk factors. The first one is to use macroeconomic variables, as prescribed by most of the literature, such as world excess return, exchange rates, variation in the spread between Eurodollar deposit tax and U.S. Treasury bill (TED spread) and change in the oil price. The second strategy is to extract factors by using a principal component analysis, designated as statistical factors. The first important result is a great resemblance between the first statistical factor and the world excess return. We estimate the APT model using two statistical methodologies: Iterated Nonlinear Seemingly Unrelated Regression (ITNLSUR) by McElroy and Burmeister (1988) and the Generalized Method Moments (GMM) by Hansen (1982). The results from both methods are very similar. With macroeconomic variables, only the world excess of return is priced in the three groups with a premium varying from 4.4% to 6.3% per year and, in the model with statistical variables, only the first statistical factor is priced in all groups with a premium varying from 6.2% to 8.5% per year.
Essa dissertação estuda o impacto de múltiplas fontes de riscos pré-especificados nos retornos de três grupos de países não sobrepostos, através de um modelo de Teoria de Precificação por Arbitragem (APT). Os grupos são compostos por mercados emergentes e desenvolvidos. Mercados emergentes tornaram-se importantes na economia mundial, especialmente como receptores de capital, mas não foram inclusos na maioria dos trabalhos correlatos anteriores. Duas estratégias foram adotadas para a escolha de dois conjuntos de fatores de risco. A primeira foi utilizar variáveis macroeconômicas, descritas na maior parte da literatura, como e excesso de retorno da carteira mundial, taxas de câmbio, variação da diferença entre a taxa de depósito em Eurodólar e a U.S. Treasury Bill (TED Spread) e mudanças no preço do petróleo. A segunda estratégia foi extrair fatores de risco através de uma análise de componentes principais, denominados fatores estatísticos. O primeiro resultado importante é a grande semelhança entre o primeiro fator estatístico e o retorno da carteira mundial. Nós estimamos o modelo APT usando duas metodologias estatísticas: Regressões Aparentemente não Correlacionadas Iteradas (ITNLSUR) de McElroy e Burmeister (1988) e o Método dos Momentos Generalizados (GMM) de Hansen (1982). Os resultados de ambas as metodologias são muito similares. Utilizando variáveis macroeconômicas, apenas o excesso de retorno da carteira mundial é precificado nos três grupos com prêmios variando de 4,4% a 6.3% ao ano e, no modelo com variáveis estatísticas, apenas o primeiro fator estatístico é precificado em todos os grupos com prêmios que variam entre 6,2% a 8,5% ao ano.
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Swanger, Craig. "The arbitrage pricing theory : implications for the Australian sharemarket /." Title page, contents and abstract only, 1995. http://web4.library.adelaide.edu.au/theses/09C/09c9723.pdf.

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Kiermeier, Michaela. "Essays on the arbitrage pricing theory and wavelet analysys /." Florence : European University institute, 1998. http://catalogue.bnf.fr/ark:/12148/cb37001394k.

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Jordan-Wagner, James M. (James Michael). "Arbitrage Pricing Theory and the Capital Asset Pricing Model: Evidence from the Eurodollar Bond Market." Thesis, University of North Texas, 1988. https://digital.library.unt.edu/ark:/67531/metadc330578/.

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Monthly returns on twenty-seven Eurobonds from July 1982 to June 1986 were examined. There were no consistent differences in returns based on the country in which a firm is located. There were consistent differences due to industry classification, with energy-related firms exhibiting higher average returns and variances. Excess returns were calculated using the capital asset pricing model and arbitrage pricing theory. The results from calculation of mean average deviation, root mean square, and R2 all indicate that the arbitrage pricing theory was a better descriptor of the Eurobond market. The excess returns were also examined using stochastic dominance. Arbitrage pricing theory never dominated the capital asset pricing model using first-order criteria, but consistently dominated using second-order criteria. The results were discussed in terms of the implications for investors and portfolio managers.
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El, Ghandour Laila. "Liquidity risk and no arbitrage." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/79975.

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Thesis (MSc)--Stellenbosch University, 2013.
ENGLISH ABSTRACT: In modern theory of finance, the so-called First and Second Fundamental Theorems of Asset Pricing play an important role in pricing options with no-arbitrage. These theorems gives a necessary and sufficient conditions for a market to have no-arbitrage and for a market to be complete. An early version of the First Fundamental Theorem of Asset Pricing was proven by Harrison and Kreps [30] in the case of a finite probability space. A more general version was proven by Harrison and Pliska [31] in the case of a finite probability space and discrete time. In the case of continuous time, Delbaen and Schachermayer [19] introduced a more general concept of no-arbitrage called "No-Free Lunch With Vanishing Risk" (NFLVR), and showed that for a locally-bounded semimartingale price process NFLVR is essentially equivalent to the existence of an equivalent local martingale measure. The goal of this thesis is to review the theory of arbitrage pricing and the extension of this theory to include liquidity risk. At the current time, liquidity risk is a key challenge faced by investors. Consequently there is a need to develop more realistic pricing models that include liquidity risk. We present an approach to liquidity risk by Çetin, Jarrow and Protter [10]. In to this approach the liquidity risk is embedded into the classical theory of arbitrage pricing by having investors act as price takers, and assuming the existence of a supply curve where prices depend on trade size. This framework assumes that the quantity impact on the price transacted is momentary. Using trading strategies that are both continuous and of finite variation allows one to avoid liquidity costs. Therefore, the First and Second Fundamental Theorems of Asset Pricing and the Black-Scholes model can be extended.
AFRIKAANSE OPSOMMING: In moderne finansiële teorie speel die sogenaamde Eerste en Tweede Fundamentele Stellings van Bateprysbepaling ’n belangrike rol in die prysbepaling van opsies in arbitrage-vrye markte. Hierdie stellings gee nodig en voldoende voorwaardes vir ’n mark om vry van arbitrage te wees, en om volledig te wees. ’n Vroeë weergawe van die Eerste Fundamentele Stelling was deur Harrison en Kreps [30] bewys in die geval van ’n eindige waarskynlikheidsruimte. ’n Meer algemene weergawe was daarna gepubliseer deur Harrison en Pliska [31] in die geval van ’n eindige waarskynlikheidsruimte en diskrete tyd. In die geval van kontinue tyd het Delbaen en Schachermayer [19] ’n meer algemene konsep van arbitragevryheid ingelei, naamlik “No–Free–Lunch–With–Vanishing–Risk" (NFLVR), en aangetoon dat vir lokaalbegrensde semimartingaalprysprosesse NFLVR min of meer ekwivalent is aan die bestaan van ’n lokaal martingaalmaat. Die doel van hierdie tesis is om ’n oorsig te gee van beide klassieke arbitrageprysteorie, en ’n uitbreiding daarvan wat likideit in ag neem. Hedendaags is likiditeitsrisiko ’n vooraanstaande uitdaging wat beleggers die hoof moet bied. Gevolglik is dit noodsaaklik om meer realistiese modelle van prysbepaling wat ook likiditeitsrisiko insluit te ontwikkel. Ons bespreek die benadering van Çetin, Jarrow en Protter [10], waar likiditeitsrisiko in die klassieke arbitrageprysteorie ingesluit word deur die bestaan van ’n aanbodkromme aan te neem, waar pryse afhanklik is van handelsgrootte. In hierdie raamwerk word aangeneem dat die impak op die transaksieprys slegs tydelik is. Deur gebruik te maak van handelingsstrategië wat beide kontinu en van eindige variasie is, is dit dan moontlik om likiditeitskoste te vermy. Die Eerste en Tweede Fundamentele Stellings van Bateprysbepaling en die Black–Scholes model kan dus uitgebrei word om likiditeitsrisiko in te sluit.
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Salas, Vargas Renan Ramiro. "Estudo da teoria de preços por arbitragem: 'the arbitrage pricing theory (APT)'." reponame:Repositório Institucional do FGV, 1993. http://hdl.handle.net/10438/5133.

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Trata da explicação da teoria do APT, abarcando o estudo de suas fontes de referência, pressupostos, modelo matemático, testes empíricos e estudos de aplicação prática de suas medidas de risco. Ressalta os aportes da teoria ao estudo do risco de preços da Teoria Financeira, descrevendo os trabalhos que identificaram vantagens do APT em relação ao CAPM, relativas ao conteúdo econômico de sua equação de equilíbrio e compravaçãu empírica. Inclue um levantamento das críticas realizadas à teoria, destacando os argumentos de resposta fornecidos pelos defensores do APT. Também explica a: metccoloçias de estimativa e teste do modelo, ilustrando a forma em que são mensurados os fatores econórnicc, de risco de preços
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Morales, Roberto Antonio. "Measuring the risk of investment in Latin America's emerging markets." Thesis, Virginia Tech, 1999. http://hdl.handle.net/10919/43467.

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This paper uses a multi-factor Arbitrage Pricing model to measure the systematic risks of U.S. Foreign Direct Investments (FDI) in the largest emerging markets of Latin America: Argentina, Brazil, Chile, and Mexico. The Arbitrage Pricing Theory (APT) states that returns on investments are exposed to and affected by a number of economy-wide factors or risks. Moreover, risk is defined as the potential losses due to the unanticipated or unexpected changes in the systematic risk factors . Because the unexpected changes in those factors account for the discrepancies between expected and actual returns, we can measure systematic risk by using traditional econometrics and multivariable analysis. Essentially, APT postulates expected returns are a linear function of unexpected changes in various regressors. The magnitude and sign of the coefficients generated provide a way to obtain a dollar denominated time explicit measure of risk. This model is estimated with a variety of estimators and it identifies four risk factors: the annual growth rates of Gross Domestic Product (GDP), money supply (M1), total exports, and total external debt, as determinants of returns. The Ordinary Least Square (OLS) results are somewhat robust--three out of four factors have the expected sign, thus supporting the hypothesis. GLS procedures reveal similar results.
Master of Arts
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Lencione, Maria Angélica Cristino. "Arbitrage pricing theory (APT): uma aplicação na Bolsa de Valores de São Paulo." reponame:Repositório Institucional do FGV, 1999. http://hdl.handle.net/10438/4715.

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O presente trabalho tem como objetivos explicar os retornos do índice da Bolsa de valores de São Paulo, o IBOVESPA, no período após a implantação do Plano Real, iniciando-se por janeiro de 1995 e tínanzando-se em agosto de 1998, através de variáveis macroeconômicas, utilizando-se do ferramental proposto pelo 'Arbitrage Pricing Theory', considerando trabalhos realizados no mundo, bem como as especificidades do mercado brasileiro e divulgar a teoria, suas premissas e vantagens à comunidade e ao mercado, a fim de estimular sua utilização, através do uso de variáveis de fácil acesso aos analistas.
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Shiratori, Carlo Eduardo. "Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/18049.

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This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two classic approaches. For this purpose two APT models were estimated one with macroeconomic risk factors and a principal component analysis (PCA) of the returns of the FIIs selected for the sample. The results obtained indicate low explanatory power of the two APT models and, except for the ETTJt interest rate structure, no statistical significance was observed for the macroeconomic risk factors, results different from those obtained by Chan, Hendershott and Sanders (1990) for the US REITs market and similar to the results obtained by Rebeschini and Leal (2016) for the Brazilian stock investment funds market. This may indicate that despite the recent strong growth in the Brazilian FII market, the level of FIIs' Brazilian market development is still low, especially when compared to other assets traded in the Brazilian financial market or similar assets traded in foreign markets. Being observed a large number of FIIs with a single portfolio asset, which, together with the results obtained in previous studies and principal component analysis (PCA), suggest that FII returns are more related to the characteristics of the underlying assets than to risk factors related to market indices.
A presente dissertação busca investigar os fatores de risco que determinam os retornos dos fundos de investimentos imobiliários - FIIs negociados nos mercados de bolsa e balcão organizado da BVMF , mediante a estimação do modelo Arbitrage Princing Theory - APT, originalmente proposto por Ross (1976), conforme as duas principais abordagens. Para tanto foram estimados dois modelos APT um com fatores de risco macroeconômicos e uma Análise de Componentes Principais - PCA dos retornos dos FIIs selecionados para a amostra. Os resultados obtidos indicam baixo poder explicativo dos dois modelos APT e exceto pela estrutura de taxa de juros ETTJt não foi observada significância estatística dos fatores de risco macroeconômicos, resultados diferentes dos obtidos por Chan, Hendershott e Sanders (1990) para o mercado americano de REITs e semelhante aos resultado obtidos por Rebeschini e Leal (2016) para o mercado de fundos de investimento em ações brasileiros. O que pode indicar que apesar do forte crescimento recente do mercado brasileiro de FIIs, ainda é baixo o nível de desenvolvimento do mercado brasileiro de FIIs, principalmente se comparado a outros ativos negociados no mercado financeiro brasileiro ou de ativos semelhantes negociados em mercados estrangeiros, sendo observado ainda um grande número de FIIs com um único ativo em carteira, o que aliado aos resultados obtidos em trabalhos anteriores e na análise de componentes principais (PCA) sugerem que os retornos dos FIIs estão mais relacionados às características próprias dos ativos subjacentes do que à fatores de risco relacionados à índices de mercado.
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Books on the topic "Non arbitrage pricing theory"

1

Huberman, Gur. Arbitrage pricing theory. [New York, N.Y.]: Federal Reserve Bank of New York, 2005.

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Arbitrage theory: Introductory lectures on arbitrage-based financial asset pricing. Berlin: Springer-Verlag, 1985.

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Breen, Richard. Non-arbitrage and recursive competetive equilibrium pricing. London: London School of Economics, Financial Markets Group, 1992.

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Breen, Richard. Non-arbitrage and recursive competitive equilibrium pricing. London: LSE Financial Markets Group, 1992.

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Perraudin, William R. M. Continuous time international arbitrage pricing: Theory and estimation. Cambridge: University of Cambridge Department of Applied Economics, 1994.

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1940-, Harrington Diana R., ed. Modern portfolio theory, the capital asset pricing model, and arbitrage pricing theory: A user's guide. 2nd ed. Englewood Cliffs, N.J: Prentice-Hall, 1987.

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Coulter, Martin D. The relevance of the arbitrage pricing theory to Irish equity returns. Dublin: University College Dublin, 1988.

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Bray, Margaret. The arbitrage pricing theory is not robust 2: Factor structures and factor pricing. London: London School of Economics, Financial Markets Group, 1994.

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Connor, Gregory. The arbitrage pricing theory and multifactor models of asset returns. London: London School of Economics, Financial Markets Group, 1992.

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New methods for the arbitrage pricing theory and the present value model. Singapore: World Scientific, 1994.

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Book chapters on the topic "Non arbitrage pricing theory"

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Jarrow, Robert A. "Arbitrage Pricing Theory." In Continuous-Time Asset Pricing Theory, 389–92. Cham: Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-77821-1_19.

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Huberman, Gur, and Zhenyu Wang. "Arbitrage Pricing Theory." In The New Palgrave Dictionary of Economics, 389–99. London: Palgrave Macmillan UK, 2018. http://dx.doi.org/10.1057/978-1-349-95189-5_374.

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Huberman, Gur. "Arbitrage Pricing Theory." In Finance, 72–80. London: Palgrave Macmillan UK, 1989. http://dx.doi.org/10.1007/978-1-349-20213-3_5.

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Huberman, Gur. "Arbitrage Pricing Theory." In The New Palgrave Dictionary of Economics, 1–7. London: Palgrave Macmillan UK, 1987. http://dx.doi.org/10.1057/978-1-349-95121-5_374-1.

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Huberman, Gur, and Zhenyu Wang. "Arbitrage Pricing Theory." In The New Palgrave Dictionary of Economics, 1–12. London: Palgrave Macmillan UK, 2008. http://dx.doi.org/10.1057/978-1-349-95121-5_374-2.

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Jarrow, Robert A. "Arbitrage Pricing Theory." In Continuous-Time Asset Pricing Theory, 401–4. Cham: Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-74410-6_19.

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Aussenegg, Wolfgang. "Die Arbitrage Pricing Theory." In Die Ermittlung der Faktorstruktur, 7–37. Wiesbaden: Deutscher Universitätsverlag, 1995. http://dx.doi.org/10.1007/978-3-663-08385-6_2.

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Kariya, Takeaki, and Regina Y. Liu. "General No-Arbitrage Asset Price Theory." In Asset Pricing, 65–95. Boston, MA: Springer US, 2003. http://dx.doi.org/10.1007/978-1-4419-9230-7_5.

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Thompson, Howard E. "Methodology of Arbitrage Pricing Theory." In Regulatory Finance, 141–59. Boston, MA: Springer US, 1991. http://dx.doi.org/10.1007/978-1-4615-3948-3_10.

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Thompson, Howard E. "Recent Models: Arbitrage Pricing Theory." In Regulatory Finance, 57–68. Boston, MA: Springer US, 1991. http://dx.doi.org/10.1007/978-1-4615-3948-3_5.

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Conference papers on the topic "Non arbitrage pricing theory"

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Xia, Jianming, and Jia-An Yan. "Some Remarks on Arbitrage Pricing Theory." In Proceedings of the International Conference on Mathematical Finance. WORLD SCIENTIFIC, 2001. http://dx.doi.org/10.1142/9789812799579_0018.

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Yang, Yuxiang, Zhongzhen Tan, and Jianguo Zou. "Applicability of Arbitrage Pricing Theory on Chinese Security Market." In 2010 3rd International Conference on Business Intelligence and Financial Engineering (BIFE). IEEE, 2010. http://dx.doi.org/10.1109/bife.2010.50.

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Ahmadi, H. "Testability of the arbitrage pricing theory by neural network." In 1990 IJCNN International Joint Conference on Neural Networks. IEEE, 1990. http://dx.doi.org/10.1109/ijcnn.1990.137598.

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Fung Yip and Lei Xu. "An application of independent component analysis in the arbitrage pricing theory." In Proceedings of the IEEE-INNS-ENNS International Joint Conference on Neural Networks. IJCNN 2000. Neural Computing: New Challenges and Perspectives for the New Millennium. IEEE, 2000. http://dx.doi.org/10.1109/ijcnn.2000.861471.

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Wei, Yicheng, and Junzo Watada. "Building a type-2 fuzzy regression model based on credibility theory and its application on arbitrage pricing theory." In 2014 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE). IEEE, 2014. http://dx.doi.org/10.1109/fuzz-ieee.2014.6891608.

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Hasuike, Takashi, Hideki Katagiri, and Hiroshi Tsuda. "Robust random fuzzy portfolio selection model with Arbitrage Pricing Theory using TS fuzzy reasoning method." In 2012 Joint 6th Intl. Conference on Soft Computing and Intelligent Systems (SCIS) and 13th Intl. Symposium on Advanced Intelligent Systems (ISIS). IEEE, 2012. http://dx.doi.org/10.1109/scis-isis.2012.6505234.

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Chakraborty, Tanmoy, Zhiyi Huang, and Sanjeev Khanna. "Dynamic and non-uniform pricing strategies for revenue maximization." In the Behavioral and Quantitative Game Theory. New York, New York, USA: ACM Press, 2010. http://dx.doi.org/10.1145/1807406.1807426.

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Yang, Mao. "Supplier's commodity pricing model based on non-cooperative game theory." In 2016 4th International Conference on Electrical & Electronics Engineering and Computer Science (ICEEECS 2016). Paris, France: Atlantis Press, 2016. http://dx.doi.org/10.2991/iceeecs-16.2016.221.

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Zhang, Chuang, Honglin Zhao, and Min Jia. "A pricing-based cooperation bandwidth allocations algorithm using non-cooperative game theory." In 2014 12th International Conference on Signal Processing (ICSP 2014). IEEE, 2014. http://dx.doi.org/10.1109/icosp.2014.7015420.

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Rouskas, A. N., A. A. Kikilis, and S. S. Ratsiatos. "Admission control and pricing in competitive wireless networks based on non-cooperative game theory." In IEEE Wireless Communications and Networking Conference, 2006. WCNC 2006. IEEE, 2006. http://dx.doi.org/10.1109/wcnc.2006.1683465.

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Reports on the topic "Non arbitrage pricing theory"

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Lehmann, Bruce, and David Modest. The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests. Cambridge, MA: National Bureau of Economic Research, October 1985. http://dx.doi.org/10.3386/w1725.

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Lehmann, Bruce, and David Modest. The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios. Cambridge, MA: National Bureau of Economic Research, October 1985. http://dx.doi.org/10.3386/w1726.

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