Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

Wayne Ferson () and Robert Korajczyk

The Journal of Business, 1995, vol. 68, issue 3, 309-49

Abstract: This article studies predictability in U.S. stock returns for multiple investment horizons. The authors measure to what extent predictability is driven by premiums for economywide risk factors, comparing two standard methods for factor selection. They study single-beta models and multiple-beta models. The authors show how to estimate the fraction of the predictability in returns captured by the model simultaneously with the other parameters. Their analysis indicates that the models capture a large fraction of the predictability for all of the investment horizons. The performance of the principal components and the prespecified-factor approaches are broadly similar. Copyright 1995 by University of Chicago Press.

Date: 1995
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (159)

Downloads: (external link)
http://dx.doi.org/10.1086/296667 full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:68:y:1995:i:3:p:309-49

Access Statistics for this article

More articles in The Journal of Business from University of Chicago Press
Bibliographic data for series maintained by Journals Division ().