THE MAGNITUDE OF PRICING ERRORS IN THE ARBITRAGE PRICING THEORY
作者:
Ashok Robin,
Ravi Shukla,
期刊:
Journal of Financial Research
(WILEY Available online 1991)
卷期:
Volume 14,
issue 1
页码: 65-82
ISSN:0270-2592
年代: 1991
DOI:10.1111/j.1475-6803.1991.tb00645.x
数据来源: WILEY
摘要:
AbstractIn this paper the arbitrage pricing theory (APT) pricing errors for individual securities are estimated employing maximum likelihood factor analysis and Fama‐MacBeth style aggregation. Results show that the pricing errors are large and statistically significant and that there is a high degree of variability in pricing errors across securities. This evidence contradicts the prevailing APT intuition that the pricing errors can be ignored as negligible. Pricing errors are also found to be related to residual variance and firm siz
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