Managerial Finance: Volume 19 Issue 3/4

Theory Succession, the CAPM, and the APT

Robert W. Kolb

Philosophers and historians of science, along with scientists themselves, have long been interested in the problem of theory succession: “How does one theory supersede another?”…

APT With Observed Factors and Conditional Heteroskedasticity

Gregory Koutmos, Panayiotis Theodossiou

Several authors have raised the issue of non‐stationarity of security returns in empirical tests of the Arbitrage Pricing Theory (APT). This paper tests for one form of…

The Arbitrage Pricing Theory and Foreign Exchange Risk Premia

Lee Sarver, George C. Philippatos

This study explores the nature of the spot foreign exchange risk premium. Employing Ross's Arbitrage Pricing Theory (APT) as a vehicle, it tests the hypothesis that…

An Application of the Arbitrage Pricing Theory Using Canonical Correlation Analysis

Andreas C. Christofi, Petros C. Christofi, George C. Philippatos

This paper demonstrates an application of the Arbitrage Pricing Theory using canonical analysis as an alternative to the conventional factor analysis. Following the traditional…

Using Canonical Correlation to Identify Arbitrage Pricing Theory Factors

Carl B. McGowan, William Dobson

This paper presents a new research design to test the efficacy of the Arbitrage Pricing Theory of Ross [1976], similar to that applied by Christofi, Christofi and Philippatos…