PERFORMANCE-MEASUREMENT WITH THE ARBITRAGE PRICING THEORY - A NEW FRAMEWORK FOR ANALYSIS

被引：273
作者：
CONNOR, G
KORAJCZYK, RA
机构：
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1986年 / 15卷 / 03期
关键词：
D O I：
10.1016/0304-405X(86)90027-9
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：373 / 394
页数：22
相关论文
共 26 条
[1]   MEASURING INVESTMENT PERFORMANCE IN A RATIONAL-EXPECTATIONS EQUILIBRIUM-MODEL [J].
ADMATI, AR ;
ROSS, SA .
JOURNAL OF BUSINESS, 1985, 58 (01) :1-26
[2]  
[Anonymous], 1981, THEORY LINEAR MODELS
[3]   ARBITRAGE, FACTOR STRUCTURE, AND MEAN-VARIANCE ANALYSIS ON LARGE ASSET MARKETS [J].
CHAMBERLAIN, G ;
ROTHSCHILD, M .
ECONOMETRICA, 1983, 51 (05) :1281-1304
[4]  
CHAMBERLAIN G, 1983, ECONOMETRICA, V51, P1303
[5]  
CHANG EC, 1984, J BUSINESS, V56, P57
[6]   SOME EMPIRICAL TESTS OF THE THEORY OF ARBITRAGE PRICING [J].
CHEN, NF .
JOURNAL OF FINANCE, 1983, 38 (05) :1393-1414
[7]   A UNIFIED BETA PRICING THEORY [J].
CONNOR, G .
JOURNAL OF ECONOMIC THEORY, 1984, 34 (01) :13-31
[8]  
CONNOR G, 1985, UNPUB TEST NUMBER FA
[9]   A CRITICAL REEXAMINATION OF THE EMPIRICAL-EVIDENCE ON THE ARBITRAGE PRICING THEORY [J].
DHRYMES, PJ ;
FRIEND, I ;
GULTEKIN, NB .
JOURNAL OF FINANCE, 1984, 39 (02) :323-346
[10]  
DYBVIG PH, 1984, UNPUB PERFORMANCE ME
123