G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w1726
来源IDWorking Paper 1726
The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios
Bruce N. Lehmann; David M. Modest
发表日期1985-10-01
出版年1985
语种英语
摘要The Arbitrage Pricing Theory (APT) of Ross (1976) presumes that a factor model describes security returns. In this paper, we provide a comprehensive examination of the merits of various strategies for constructing basis portfolios that are, in principle, highly correlated with the common factors affecting security returns. Three main conclusions emerge from our study. First, increasing the number of securities included in the analysis dramatically improves basis portfolio performance. Our results indicate that factor models involving 750 securities provide markedly superior performance to those involving 30 or 250 securities. Second, comparatively efficient estimation procedures such as maximum likelihood and restricted maximum likelihood factor analysis(which imposes the APT mean restriction) significantly outperform the less efficient instrumental variables and principal components procedures that have been proposed in the literature. Third, a variant of the usual Fame-MacBeth portfolio formation procedure, which we call the minimum idiosyncratic risk portfolio formation procedure, outperformed the Fama-MacBeth procedure and proved equal toor better than more expensive quadratic programming procedures.
主题Financial Economics
URLhttps://www.nber.org/papers/w1726
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/558970
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Bruce N. Lehmann,David M. Modest. The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios. 1985.
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