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Article: A Pricing OperatorBased Testing Foundation for a Class of Factor Pricing Models
Title  A Pricing OperatorBased Testing Foundation for a Class of Factor Pricing Models 

Authors  
Keywords  Factor pricing APT Law of One Price Empirical tests of asset pricing 
Issue Date  1994 
Publisher  WileyBlackwell Publishing, Inc.. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=09601627 
Citation  Mathematical Finance, 1994, v. 4 n. 2, p. 121–141 How to Cite? 
Abstract  This paper develops a crossmarket version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their common factors if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with probability 1. We define an APT measure as the squared distance between the two pricing operators. Then, testing whether this measure is zero is equivalent to testing exact factor pricing across the two submarkets. Since the estimation of this measure does not require parameterizing and extracting the underlying factors, one can test factor pricing models without knowing any factors. In addition, we present a randomization procedure so that one can use it to conduct a more comprehensive investigation on the empirical robustness of factor pricing models. 
Persistent Identifier  http://hdl.handle.net/10722/222294 
ISSN  2015 Impact Factor: 2.283 2015 SCImago Journal Rankings: 1.671 
DC Field  Value  Language 

dc.contributor.author  Chen, Z   
dc.contributor.author  Knez, PJ   
dc.date.accessioned  20160111T08:19:48Z   
dc.date.available  20160111T08:19:48Z   
dc.date.issued  1994   
dc.identifier.citation  Mathematical Finance, 1994, v. 4 n. 2, p. 121–141   
dc.identifier.issn  09601627   
dc.identifier.uri  http://hdl.handle.net/10722/222294   
dc.description.abstract  This paper develops a crossmarket version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their common factors if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with probability 1. We define an APT measure as the squared distance between the two pricing operators. Then, testing whether this measure is zero is equivalent to testing exact factor pricing across the two submarkets. Since the estimation of this measure does not require parameterizing and extracting the underlying factors, one can test factor pricing models without knowing any factors. In addition, we present a randomization procedure so that one can use it to conduct a more comprehensive investigation on the empirical robustness of factor pricing models.   
dc.language  eng   
dc.publisher  WileyBlackwell Publishing, Inc.. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=09601627   
dc.relation.ispartof  Mathematical Finance   
dc.rights  Preprint This is the prepeer reviewed version of the following article: [FULL CITE], which has been published in final form at [Link to final article]. Authors are not required to remove preprints posted prior to acceptance of the submitted version. Postprint This is the accepted version of the following article: [full citation], which has been published in final form at [Link to final article].   
dc.subject  Factor pricing   
dc.subject  APT   
dc.subject  Law of One Price   
dc.subject  Empirical tests of asset pricing   
dc.title  A Pricing OperatorBased Testing Foundation for a Class of Factor Pricing Models   
dc.type  Article   
dc.identifier.email  Chen, Z: zchen99@hku.hk   
dc.identifier.authority  Chen, Z=rp02041   
dc.identifier.doi  10.1111/j.14679965.1994.tb00053.x   
dc.identifier.volume  4   
dc.identifier.issue  2   
dc.identifier.spage  121–141   
dc.identifier.epage  121–141   
dc.publisher.place  United States   