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New Methods for the Arbitrage Pricing Theory and the Present Value Model

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  • Jianping Mei

    (New York University, USA)

Abstract

This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.

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Suggested Citation

  • Jianping Mei, 1994. "New Methods for the Arbitrage Pricing Theory and the Present Value Model," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 2428, August.
    • Handle: RePEc:wsi:wsbook:2428
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    File URL: https://www.worldscientific.com/worldscibooks/10.1142/2428
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    Cited by:

    1. Séverine Cauchie & Martin Hoesli, 2006. "Further Evidence of the Integration of Securitized Real Estate and Financial Assets," Journal of Property Research, Taylor & Francis Journals, vol. 23(1), pages 1-38, March.
    2. Séverine CAUCHIE & Martin HOESLI, 2004. "The Integration of Securitized Real Estate and Financial Assets," FAME Research Paper Series rp111, International Center for Financial Asset Management and Engineering.

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