Aspects of the Factor Structure Implicit in the Australian Industrial Equity Market: February 1958 to August 1977

N. A. Sinclair
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N. A. Sinclair: Monash University. This paper has benefited from the comments given by Ray Ball during the course of his supervision of the thesis from which the paper is drawn.

Australian Journal of Management, 1984, vol. 9, issue 1, 23-36

Abstract: Several asset pricing models have been developed in the literature, all of which can be treated as special theoretical cases of the Arbitrage Pricing Theory (APT). This paper examines aspects of the factor structure implicit in securities' monthly return data. Part of the approach is directly analogous to an examination of market model beta stationarity. It is found that a single factor, typically identified as a market factor, is dominant and remains intertemporally stable. Ceteris paribus, the implicit factor structure is consistent with a one factor APT of which the mean-variance CAPM is a special case.

Keywords: FACTOR STRUCTURE; STOCK MARKET; STATIONARITY; FACTOR CONGRUENCE (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:sae:ausman:v:9:y:1984:i:1:p:23-36

DOI: 10.1177/031289628400900102

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