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Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model: Iterated Nonlinear Seemingly Unrelated Regression Estimates

Citations

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Cited by:

  1. Entorf, Horst & Jamin, Gösta, 2000. "German stock returns: The dance with the dollar," W.E.P. - Würzburg Economic Papers 19, University of Würzburg, Department of Economics.
  2. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  3. Sotiris Staikouras, 2005. "Equity returns of financial institutions and the pricing of interest rate risk," Applied Financial Economics, Taylor & Francis Journals, vol. 15(7), pages 499-508.
  4. Costas M. Stephanou & Gawie S. du Toit & Marius J. Maritz, 2003. "The Release of Nelson Mandela: Effect on the Johannesburg Securities Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 153-175, September.
  5. Balduzzi, Pierluigi & Robotti, Cesare, 2010. "Asset pricing models and economic risk premia: A decomposition," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 54-80, January.
  6. William C. Brainard & Matthew D. Shapiro & John B. Shoven, 1990. "Fundamental Value and Market Value," NBER Working Papers 3452, National Bureau of Economic Research, Inc.
  7. Doukas, John & Hall, Patricia H. & Lang, Larry H. P., 1999. "The pricing of currency risk in Japan," Journal of Banking & Finance, Elsevier, vol. 23(1), pages 1-20, January.
  8. N. Groenewold & P. Fraser, 1999. "Violation of the IID-Normal Assumption: Effects on tests of asset-pricing models using Australian data," Economics Discussion / Working Papers 99-12, The University of Western Australia, Department of Economics.
  9. Joelle Miffre, 2003. "The cross section of expected futures returns and the Keynesian hypothesis," Applied Financial Economics, Taylor & Francis Journals, vol. 13(10), pages 731-739.
  10. Colin T. Bowers & Chris Heaton, 2013. "What does high-dimensional factor analysis tell us about risk factors in the Australian stock market?," Applied Economics, Taylor & Francis Journals, vol. 45(11), pages 1395-1404, April.
  11. Mr. Matthew D. Merritt & Mr. Shaun K. Roache, 2006. "Currency Risk Premia in Global Stock Markets," IMF Working Papers 2006/194, International Monetary Fund.
  12. Lutz Hahnenstein & Klaus Röder, 2007. "Who hedges more when leverage is endogenous? A testable theory of corporate risk management under general distributional conditions," Review of Quantitative Finance and Accounting, Springer, vol. 28(4), pages 353-391, May.
  13. Groenewold, Nicolaas & Fraser, Patricia, 2001. "Tests of asset-pricing models: how important is the iid-normal assumption?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 427-449, September.
  14. Thorbecke, Willem, 2002. "Budget deficits, inflation risk, and asset prices," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 539-553, August.
  15. Willem THORBECKE, 2021. "East Asian and European Firms: Comrades or Competitors," Discussion papers 21098, Research Institute of Economy, Trade and Industry (RIETI).
  16. Szczygielski, Jan Jakub & Brzeszczyński, Janusz & Charteris, Ailie & Bwanya, Princess Rutendo, 2022. "The COVID-19 storm and the energy sector: The impact and role of uncertainty," Energy Economics, Elsevier, vol. 109(C).
  17. Kodongo, Odongo & Ojah, Kalu, 2011. "Foreign exchange risk pricing and equity market segmentation in Africa," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2295-2310, September.
  18. Nadeem Iqbal & Sajid Rahman Khattak & Muhammad Arif Khattak, 2013. "Relationship between Macroeconomic Variables and KSE-100 Index: Evidence from Pakistan," Knowledge Horizons - Economics, Faculty of Finance, Banking and Accountancy Bucharest,"Dimitrie Cantemir" Christian University Bucharest, vol. 5(4), pages 101-105, December.
  19. Lucidi, Francesco Simone & Semmler, Willi, 2023. "Long-run scarring effects of meltdowns in a small-scale nonlinear quadratic model," Journal of Macroeconomics, Elsevier, vol. 75(C).
  20. Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
  21. Thorbecke, Willem, 2000. "Monetary Policy, Time-Varying Risk, and the Bond Market Debacle of 1994," Journal of Macroeconomics, Elsevier, vol. 22(1), pages 159-174, January.
  22. Boamah, Nicholas Addai & Watts, Edward J. & Loudon, Geoffrey, 2016. "Investigating temporal variation in the global and regional integration of African stock markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 103-118.
  23. Antoniou, Antonios & Garrett, Ian & Priestley, Richard, 1998. "Calculating the equity cost of capital using the APT: the impact of the ERM," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 949-965, December.
  24. Groenewold, Nicolaas & Fraser, Patricia, 2002. "Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 491-510.
  25. Pierluigi Balduzzi & Cesare Robotti, 2001. "Minimum-variance kernels, economic risk premia, and tests of multi-beta models," FRB Atlanta Working Paper 2001-24, Federal Reserve Bank of Atlanta.
  26. Willem Thorbecke, 2023. "The Impact of Monetary Policy on the U.S. Stock Market since the COVID-19 Pandemic," IJFS, MDPI, vol. 11(4), pages 1-15, November.
  27. Willem THORBECKE, 2023. "The Impact of Monetary Policy on the U.S. Stock Market since the Pandemic," Discussion papers 23054, Research Institute of Economy, Trade and Industry (RIETI).
  28. Andreas Reschreiter, 2004. "Risk factors of inflation-indexed and conventional government bonds and the APT," Money Macro and Finance (MMF) Research Group Conference 2003 79, Money Macro and Finance Research Group.
  29. Peter Karlsson, 2011. "The Incompleteness Problem of the APT Model," Computational Economics, Springer;Society for Computational Economics, vol. 38(2), pages 129-151, August.
  30. Antonio Roma, 2006. "Common factors and balance sheet structure of major European banks," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 59(237), pages 123-170.
  31. Azeez, A.A. & Yonezawa, Yasuhiro, 2006. "Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market," Japan and the World Economy, Elsevier, vol. 18(4), pages 568-591, December.
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