Chapter 9 (Identification)
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Jobson (1982)
Alternative Techniques for testing the APT using a multifactor linear regression model.
Brown and Weinstsein (1983)
Estimating and testing assets pricing models using bilinear paradigm.
1. Confidence risk 2. Time horizon risk 3. Inflation risk 4. Business cycle risk 5. Market timing risk
Give the five (5) Risk of Exposure
January Effect
Gultekin and Gultekin ( 1987) tested the ability of the APT model to account for the anomaly where return's __________
Multifactor Model
In a _____ investor chooses the exact number and identity of risk factors.
Microeconomic based risk factor models
It focus on relevant characteristics of the securities themselves, such as the size of the firm in question or someone of its financial ratios.
