'Arbitrage pricing theory' diaporamas de présentation

Multifactor models Arbitrage opportunities and profits The APT: A single factor model Well-diversified portfolios Betas

Topic 5 Arbitrage Pricing Theory (APT) and Multifactor Models of Risk and Return. Multifactor models Arbitrage opportunities and profits The APT: A single factor model Well-diversified portfolios Betas and expected returns The security market line Individual assets and the APT

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B40.2302 Class #3

B40.2302 Class #3. BM6 chapters 7, 8, 9 Based on slides created by Matthew Will Modified 9/23/2001 by Jeffrey Wurgler. Principles of Corporate Finance Brealey and Myers Sixth Edition. Introduction to Risk, Return, and the Opportunity Cost of Capital. Slides by

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Finance 450 General Comments for Final Two Weeks

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Capital Asset Pricing and Arbitrage Pricing Theory

Department of Banking and Finance. SPRING 200 7 -0 8. Capital Asset Pricing and Arbitrage Pricing Theory. by Asst. Prof. Sami Fethi. Capital Asset Pricing Model (CAPM).

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Chapter 9

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Chapter 24

Chapter 24. Portfolio Theory, Asset Pricing Models, and Behavioral Finance. Topics in Chapter. Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient Frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model.

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Chapter 7

Chapter 7. Portfolio Theory and Other Asset Pricing Models. Topics in Chapter. Portfolio Theory Capital Asset Pricing Model (CAPM) Efficient Frontier Capital Market Line (CML) Security Market Line (SML) Beta calculation Arbitrage pricing theory Fama-French 3-factor model.

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Lecture Presentation Software to accompany Investment Analysis and Portfolio Management Seventh Edition by Frank K. Re

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Corporate Valuation

Corporate Valuation. Keith M. Howe Scholl Professor of Finance DePaul University. Summer 2009. Valuation Approaches. Discounted cash flow (DCF) analysis Relative valuation analysis comparable companies analysis equity valuation using P/E multiples

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Chapter 21 International Asset Pricing

Chapter 21 International Asset Pricing. 21.1 The Traditional CAPM 21.2 The International Asset Pricing Model (IAPM) 21.3 Factor Models and Arbitrage Pricing Theory (APT) 21.4 Applications of Arbitrage Pricing Theory 21.5 The Currency Risk Factor in Stock Returns

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Topic 4: Portfolio Concepts

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Chapter 11

Chapter 11. Arbitrage Pricing Theory. Arbitrage Pricing Theory. Developed by Ross (1976,1977) Has three major assumption : Capital markets are perfectly competitive Investors always prefer more wealth to less wealth with certainty

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Arbitrage Pricing Theory (APT)

Arbitrage Pricing Theory (APT) CAPM is criticized because of the difficulties in selecting a proxy for the market portfolio as a benchmark An alternative pricing theory with fewer assumptions was developed: Arbitrage Pricing Theory Arbitrage Pricing Theory - APT Three major assumptions:

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Capital Asset Pricing Model (CAPM)

Capital Asset Pricing Model (CAPM). Assumptions Investors are price takers and have homogeneous expectations One period model Presence of a riskless asset No taxes, transaction costs, regulations or short-selling restrictions (perfect market assumption)

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The Arbitrage Pricing Theory and Multifactor Models of Risk and Return

The Arbitrage Pricing Theory and Multifactor Models of Risk and Return. P.V. Viswanath For a First Course in INvestments. Learning Goals. Why do we need multi-factor models? How are the multi-factor models grounded in the CAPM/APT? What is the APT? How does the APT differ from the CAPM?

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Diversification of Risks:

Diversification of Risks:. Total Risk = Firm Specific Risk + Market Wide Risk Unique Risk = 1. Management Risk a) acts of god b) Product Obsolescence c) Errors 2. Default Risk a) Financial Leverage b) Operating Leverage 3. Industry Risk 4. Liquidity Risk

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Chapter 11

Chapter 11. Arbitrage Pricing Theory. Arbitrage Pricing Theory. Arbitrage - arises if an investor can construct a zero investment portfolio with a sure profit Since no investment is required, an investor can create large positions to secure large levels of profit

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Arbitrage Pricing Theory and Multifactor Models

Arbitrage Pricing Theory and Multifactor Models. Arbitrage Opportunity and Profit Diversification and APT APT and CAPM Comparison Multifactor Models. Arbitrage Opportunity and Profit. Arbitrage The opportunity of making riskless profit by exploiting relative mispricing of securities

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CHAPTER ELEVEN

CHAPTER ELEVEN. ARBITRAGE PRICING THEORY. FACTOR MODELS. ARBITRAGE PRICING THEORY (APT) is an equilibrium factor mode of security returns Principle of Arbitrage the earning of riskless profit by taking advantage of differentiated pricing for the smae physical asset or security

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Arbitrage Pricing Theory

Arbitrage Pricing Theory. Arbitrage Pricing Theory (APT). Based on the law of one price. Two items that are the same cannot sell at different prices

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