Hostname: page-component-78c5997874-8bhkd Total loading time: 0 Render date: 2024-11-20T04:52:14.975Z Has data issue: false hasContentIssue false
  • English
  • Français

A Mean-Variance Derivation of a Multi-Factor Equilibrium Model

Published online by Cambridge University Press:  06 April 2009

Michael C. Ehrhardt
Get access Rights & Permissions [Opens in a new window]

Abstract

The primary objective of this paper is to derive a multi-factor equilibrium model using a mean-variance approach. The results of this derivation provide greater insight into the nature of the resulting factors than does APT. There are several important implications for empirical tests of any a priori defined multi-factor model.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 22 , Issue 2 , June 1987 , pp. 227 - 236
Copyright
Copyright © School of Business Administration, University of Washington 1987

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Fama, E., and MacBeth, J.. “Risk, Return, and Equilibrium: Empirical Tests.” Journal of Political Economy, 81 (05–06 1973), 607–636.CrossRefGoogle Scholar
[2]King, B. F. “Market and Industry Factors in Stock Price Behaviors.” Journal of Business, 39 (01 1966), 139–190.CrossRefGoogle Scholar
[3]Lintner, J. “Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics, 47 (02 1965), 13–37.CrossRefGoogle Scholar
[4]Markowitz, H. M. “Portfolio Solution.” Journal of Finance, 7 (03 1952), 77–91.Google Scholar
[5]Mossin, J. “Equilibrium in a Capital Asset Market.” Econometrica, 34 (10 1966), 768–783.CrossRefGoogle Scholar
[6]Pfleiderer, P. “A Short Note on the Similarities and Differences between the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT).” Working Paper, Stanford Univ. (1983).Google Scholar
[7]Ross, S. A. “The Arbitrage Theory of Capital Asset Pricing.” Journal of Economic Theory, 13 (12 1976), 341–360.CrossRefGoogle Scholar
[8]Sharpe, W. F. “A Simplified Model for Portfolio Analysis.” Management Science, 9 (01 1963), 277–293.CrossRefGoogle Scholar
[9]Sharpe, W. F. “Capital Asset Prices—A Theory of Market Equilibrium under Conditions of Risk.” The Journal of Finance, 19 (09 1964), 425–442.Google Scholar
[10]Sharpe, W. F. “Factors in New York Stock Exchange Security Returns, 1931–1979.” Journal of Portfolio Management, 8 (Summer 1982), 5–19.CrossRefGoogle Scholar
[11]Sharpe, W. F. “Factor Models, CAPMs, and the APT.” Journal of Portfolio Management, 11 (Fall 1984), 21–25.CrossRefGoogle Scholar