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Browsing Theses and Dissertations (Financial Management) by Postgraduate "Szczygielski, Jan Jakub"

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Underspecification in the macroeconomic Arbitrage Pricing Theory (APT) linear factor model and the role of the residual market factor

Szczygielski, Jan Jakub (University of Pretoria, 2018)

The linear factor model is a building block of the Arbitrage Pricing Theory (APT). Macroeconomic factors may be used in linear factor models to proxy for the pervasive influences in returns. However, as the true return ...

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