Arbitrage Pricing Theory and Multifactor Models

Michael Donadelli, Michele Costola and Ivan Gufler
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Michael Donadelli: University of Brescia
Michele Costola: Ca’ Foscari University of Venice
Ivan Gufler: Luiss Guido Carli

Chapter 6 in Essentials of Financial Economics, 2025, pp 159-186 from Springer

Abstract: Abstract This chapter explores the anomalies in asset prices that challenge the foundational assumptions and predictions of the CAPM. The substantial body of research dedicated to uncovering, analyzing, and addressing these anomalies has grown significantly over time, making a comprehensive review both ambitious and intricate. Therefore, we focus on the seminal contributions that have profoundly influenced the field, emphasizing key findings from empirical studies on the CAPM and its various extensions.

Date: 2025
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DOI: 10.1007/978-3-031-86189-5_6

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