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Beschreibung
Mindmap von Katerina Kritikos, aktualisiert more than 1 year ago
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Erstellt von Katerina Kritikos
vor etwa 2 Jahre
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Arbitrage Pricing Theory (S. Ross)
- Suggested a general multi-factor model structure (after Fama and French).
- Based on idea that there are a few major macro-economic
factors that influence security returns.
- The model derived return can then be used to correctly price the security and if price diverges,
arbitrage activity will bring it back into line so that it is not possible to achieve better returns than
indicated by the model.
- Research suggests there are four important factors that influence security returns
- Unanticipated inflation
- Changes in expected levels of industrial production.
- Changes in default risk premium on bonds
- Unanticipated changes in return of long term gilts over Treasury bills (shifts in yield curve)
- Unanticipated inflation
- Research suggests there are four important factors that influence security returns
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