New Methods for the Arbitrage Pricing Theory and the Present Value Model

Jianping Mei
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Jianping Mei: New York University, USA

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: This book consists of two essays on new approaches for the Arbitrage Pricing Theory and the Present Value Model, and one essay on cross-sectional correlations in panel data. The new approaches are designed to study a large number of securities over time. They can be employed by security analysts to discover market anomalies without assuming observable factors or constant risk premium. The book shows how these two approaches can be used to determine how many systematic factors affect the U.S. stock market.

Date: 1994
ISBN: 9789810218393
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Chapters in this book:

Ch 1 Do We Have to Know Betas? An Autoregressive Method for Testing the APT , pp 1-43

Jianping Mei

Ch 2 Variable-Expected-Returns and the Present Value Model: A Panel Study , pp 45-89

Jianping Mei

Ch 3 Application of the Newey-West Matrix for Correction of Heteroskedasticity and Cross-Sectional Correlation , pp 91-111

Jianping Mei and Whitney Newey

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