Dec 1, 1976 · The arbitrage theory of capital asset pricing - ScienceDirect

The arbitrage model was proposed as an alternative to the mean variance capital asset pricing model, introduced by Sharpe, Lintner, and Treynor, that has become the major analytic tool for explaining …

Jan 1, 2001 · TL;DR: Using a sample free of survivor bias, this paper showed that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual fund's …

This research investigates empirically whether a parsimonious arbitrage pricing model can account for the differences in average returns between small firms and large firms which are traded on the New …

In finance, arbitrage pricing theory (APT) is a multi-factor model for asset pricing which relates various macro-economic (systematic) risk variables to the pricing of financial assets.

Ross (1976), Huberman (1982), Ingersoll (1984), and Jarrow (1988) show that approximate arbitrage portfolios will not exist in a well-functioning capital market.

Based on the importance of social integrity to the market economy, this paper explores the impact of social integrity on the company’s business development by searching and reviewing the literature on …

In conclusion, we have set forth a rigorous basis for the arbitrage relation and arguments analyzed in Ross [14] (and [13]), and the conditions which are sufficient to support the theory have some intuitive …

Jan 1, 2025 · In 1976, the American economist Stephen A. Ross ( 1976) published the classic paper “The Arbitrage Theory of Capital Asset Pricing” on Journal of Economic Theory, in which Ross …

“The Arbitrage Theory of Capital Asset Pricing” is a paper written by Stephen A. Ross that examines the arbitrage model of capital asset pricing and proposes it as an alternative to the mean variance model.