全球智库信息集成服务系统(G2TT): The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w1726
来源ID	Working 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
URL	https://www.nber.org/papers/w1726
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/558970
推荐引用方式 GB/T 7714	Bruce N. Lehmann,David M. Modest. The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios. 1985.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w1726.pdf（627KB）	智库出版物		限制开放	CC BY-NC-SA	浏览