RISK AND RETURN IN AN EQUILIBRIUM APT - APPLICATION OF A NEW TEST METHODOLOGY

被引：239

作者：

CONNOR, G ^{[1
]}

KORAJCZYK, RA ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,EVANSTON,IL 60208

来源：

JOURNAL OF FINANCIAL ECONOMICS | 1988年 / 21卷 / 02期

关键词：

D O I：

10.1016/0304-405X(88)90062-1

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：255 / 289

页数：35

共 36 条

[1] CONFLICT AMONG CRITERIA FOR TESTING HYPOTHESES IN MULTIVARIATE LINEAR-REGRESSION MODEL [J].

BERNDT, ER ;

SAVIN, NE .

ECONOMETRICA, 1977, 45 (05) :1263-1277

[2] ON THE USE OF THE MULTIVARIATE REGRESSION-MODEL IN EVENT STUDIES [J].

BINDER, JJ .

JOURNAL OF ACCOUNTING RESEARCH, 1985, 23 (01) :370-383

[3]

Black Fischer., 1972, CAPITAL ASSET PRICIN, P79

[4] NEW EVIDENCE ON THE NATURE OF SIZE-RELATED ANOMALIES IN STOCK-PRICES [J].

BROWN, P ;

KLEIDON, AW ;

MARSH, TA .

JOURNAL OF FINANCIAL ECONOMICS, 1983, 12 (01) :33-56

[5] ARBITRAGE, FACTOR STRUCTURE, AND MEAN-VARIANCE ANALYSIS ON LARGE ASSET MARKETS [J].

CHAMBERLAIN, G ;

ROTHSCHILD, M .

ECONOMETRICA, 1983, 51 (05) :1281-1304

[6] AN EXPLORATORY INVESTIGATION OF THE FIRM SIZE EFFECT [J].

CHAN, KC ;

CHEN, NF ;

HSIEH, DA .

JOURNAL OF FINANCIAL ECONOMICS, 1985, 14 (03) :451-471

[7] SOME EMPIRICAL TESTS OF THE THEORY OF ARBITRAGE PRICING [J].

CHEN, NF .

JOURNAL OF FINANCE, 1983, 38 (05) :1393-1414

[8] ECONOMIC FORCES AND THE STOCK-MARKET [J].

CHEN, NF ;

ROLL, R ;

ROSS, SA .

JOURNAL OF BUSINESS, 1986, 59 (03) :383-403

[9] PERFORMANCE-MEASUREMENT WITH THE ARBITRAGE PRICING THEORY - A NEW FRAMEWORK FOR ANALYSIS [J].

CONNOR, G ;

KORAJCZYK, RA .

JOURNAL OF FINANCIAL ECONOMICS, 1986, 15 (03) :373-394

[10] A UNIFIED BETA PRICING THEORY [J].

CONNOR, G .

JOURNAL OF ECONOMIC THEORY, 1984, 34 (01) :13-31

← 1 2 3 4 →