Arbitrage Model of Security Returns :
Arbitrage Model of Security Returns :
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The third step is the experiment itself and the observation of the results. For the arbitrage theory in particular, each of these steps has been addressed in previous chapters and it is useful to summarize them here.
Initially, the arbitrage theory assumes a k + 1 factor linear return generating function of the form r. - E. + 6 + b.,6, + . . . + b.,5. + e., (6-1) i i o il 1 lk k l ' ^ ' where the residuals (e.) are independent both inter-temporally and 130 cross -sectionally as well as being in...dependent of the factors (s-)- Thus, the deviation of the return from its expectation is a linear function of the random values of the k common factors, the zero beta return, and an independent, residual component. If the basic no-arbitrage propositions outlined above are assumed to hold, then as shown in Chapter III, there is an approximate ex ante pricing relation of the form E. = X + b..\, + . . . + b..X. , (6-2) i o ill ik k where X is the expected zero beta return and A, - X. are the risk premia for the k factors.
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You can find similar books in the "Read Also" column, or choose other free books by Jordan, Bradford Dunson to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
The third step is the experiment itself and the observation of the results. For the arbitrage theory in particular, each of these steps has been addressed in previous chapters and it is useful to summarize them here.
Initially, the arbitrage theory assumes a k + 1 factor linear return generating function of the form r. - E. + 6 + b.,6, + . . . + b.,5. + e., (6-1) i i o il 1 lk k l ' ^ ' where the residuals (e.) are independent both inter-temporally and 130 cross -sectionally as well as being in...dependent of the factors (s-)- Thus, the deviation of the return from its expectation is a linear function of the random values of the k common factors, the zero beta return, and an independent, residual component. If the basic no-arbitrage propositions outlined above are assumed to hold, then as shown in Chapter III, there is an approximate ex ante pricing relation of the form E. = X + b..\, + . . . + b..X. , (6-2) i o ill ik k where X is the expected zero beta return and A, - X. are the risk premia for the k factors.
What to read after Arbitrage Model of Security Returns :?
You can find similar books in the "Read Also" column, or choose other free books by Jordan, Bradford Dunson to read onlineMoreLess
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