Suchergebnisse

The Arbitrage Pricing Theory (apt) offers a testable alternative to the mean‐variance based asset pricing models whose validity and testability have been questioned in the literature. This study tests the validity of the apt using the Toronto Stock Exchange's monthly individual stock price data from January 1971 to December 1982. Results obtained support the hypothesis that the apt predicts the risk free rates, but they do not support the hypothesis that the factors are priced in the market. These findings are similar to those of studies evaluating the validity of the apt using us stock market data.RésuméLa théorie d'établissement des prix par arbitrage (apt) constitute une solution de rechange vérifiable aux modèles d'établissement des prix fondés sur l'écart moyen, dont la validité fr l'apt à l'aide des données mensuelles de la Bourse de Toronto sur le cours des actions de janvier 1971 a décembre 1982. Les résultats obtenus soutiennent l'hypothèse selon laquelle les coùts des facteurs sont établis en Bourse. Ces conclusions sont semblables à celles des études qui évaluent la validité de l'apt en utilisant les données des bourses américaines.

AbstractWe examine long‐run relations implied by covered interest parity (CIP) in possibly cointegrated and nonstationary data series. Empirical evidence suggests that, ignoring market imperfections, CIP failed over January 6, 1984, through December 6, 1991, using weekly data from four major currencies relative to the U.S. dollar. The multivariate maximum likelihood vector autoregressive (VAR) methodology does not require data differencing and hence retains valuable information lost in previous research examining international market flows. Rejections are robust to both subperiod analysis and alternative interest rate series. Although test rejections are highly statistically significant, attainable economic profits appear small. Practitioners will find economic profits inconsequential relative to reasonable bounds on market frictions such as transaction costs. Nonetheless, the use of CIP to determine forward rates identically from interest rates and spot rates in academic studies is called into question.