|
|||||
|
|
A comparison of the APT and CAPM a note |
|
| Authors: | Robert Jarrow Andrew Rudd |
| Affiliation: | Cornell University, Ithaca, NY 14853, USA |
| Abstract: | The single factor version of Ross' arbitrage pricing theory and the Sharpe-Lintner-Mossin capital asset pricing model offer deceptively similar pricing relationships. This paper derives conditions for the equivalence of the two paradigms. |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ | |