File Download
There are no files associated with this item.
Links for fulltext
(May Require Subscription)
- Publisher Website: 10.1111/j.1467-9965.1994.tb00053.x
- Scopus: eid_2-s2.0-84986861045
- Find via
Supplementary
-
Citations:
- Scopus: 0
- Appears in Collections:
Article: A Pricing Operator-Based Testing Foundation for a Class of Factor Pricing Models
Title | A Pricing Operator-Based 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 | Wiley-Blackwell Publishing, Inc.. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0960-1627 |
Citation | Mathematical Finance, 1994, v. 4 n. 2, p. 121–141 How to Cite? |
Abstract | This paper develops a cross-market 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 | 2023 Impact Factor: 1.6 2023 SCImago Journal Rankings: 1.616 |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chen, Z | - |
dc.contributor.author | Knez, PJ | - |
dc.date.accessioned | 2016-01-11T08:19:48Z | - |
dc.date.available | 2016-01-11T08:19:48Z | - |
dc.date.issued | 1994 | - |
dc.identifier.citation | Mathematical Finance, 1994, v. 4 n. 2, p. 121–141 | - |
dc.identifier.issn | 0960-1627 | - |
dc.identifier.uri | http://hdl.handle.net/10722/222294 | - |
dc.description.abstract | This paper develops a cross-market 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 | Wiley-Blackwell Publishing, Inc.. The Journal's web site is located at http://www.wiley.com/bw/journal.asp?ref=0960-1627 | - |
dc.relation.ispartof | Mathematical Finance | - |
dc.rights | Preprint This is the pre-peer 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 Operator-Based 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.1467-9965.1994.tb00053.x | - |
dc.identifier.scopus | eid_2-s2.0-84986861045 | - |
dc.identifier.volume | 4 | - |
dc.identifier.issue | 2 | - |
dc.identifier.spage | 121–141 | - |
dc.identifier.epage | 121–141 | - |
dc.publisher.place | United States | - |
dc.identifier.issnl | 0960-1627 | - |