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An empirical examination of the implications of arbitrage pricing theory

Author

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  • Dhrymes, Phoebus J.
  • Friend, Irwin
  • Gultekin, N. Bulent
  • Gultekin, Mustafa N.

Abstract

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Suggested Citation

  • Dhrymes, Phoebus J. & Friend, Irwin & Gultekin, N. Bulent & Gultekin, Mustafa N., 1985. "An empirical examination of the implications of arbitrage pricing theory," Journal of Banking & Finance, Elsevier, vol. 9(1), pages 73-99, March.
    • Handle: RePEc:eee:jbfina:v:9:y:1985:i:1:p:73-99
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    Citations

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    Cited by:

    1. Bruce N. Lehmann, 1986. "Residual Risk Revisited," NBER Working Papers 1908, National Bureau of Economic Research, Inc.
    2. S. Saiful Bahri & Lawrence Leger, 2001. "The stability of risk factors in the UK stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(4), pages 411-422.
    3. Lawrence Leger & Vitor Leone, 2008. "Changes in the risk structure of stock returns: Consumer Confidence and the dotcom bubble," Review of Financial Economics, John Wiley & Sons, vol. 17(3), pages 228-244, August.
    4. Reid, Donald W. & Tew, Bernard V., 1986. "A Review Of Asset Pricing Theories Under Uncertainty," Regional Research Projects > 1986: S-180 Annual Meeting, March 23-26, 1986, Tampa, Florida 271818, Regional Research Projects > S-180: An Economic Analysis of Risk Management Strategies for Agricultural Production Firms.
    5. Bruce N. Lehmann & David M. Modest, 1985. "Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons," NBER Working Papers 1721, National Bureau of Economic Research, Inc.
    6. Lam, Keith S. K., 2002. "The relationship between size, book-to-market equity ratio, earnings-price ratio, and return for the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 13(2), pages 163-179.

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