Abstract

http://ssrn.com/abstract=1916918
 
 

Citations (89)



 


 



Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis


Gregory Connor


London School of Economics & Political Science (LSE) - Department of Accounting and Finance

Robert A. Korajczyk


Northwestern University - Kellogg School of Management

April 1985

Journal of Financial Economics (JFE), Vol. 15, No. 3, 1986

Abstract:     
This paper develops a theory and econometric method of portfolio performance measurement using a competitive equilibrium version of the Arbitrage Pricing Theory. We show that the Jensen coefficient and the appraisal ratio of Treynor and Black are theoretically compatible with the Arbitrage Pricing Theory. We construct estimators for the two performance measures using a new principal components technique, and describe their asymptotic distributions. The estimators are computationally feasible using a large number of securities. We also suggest a new approach to testing for the correct number of factors.

Number of Pages in PDF File: 38

Keywords: Asymptotic Principal Components, Arbitrage Pricing Theory, APT, Performance Measurement, Jensen Measure, Appraisal Ratio

JEL Classification: G1, G12

Accepted Paper Series


Download This Paper

Date posted: August 26, 2011  

Suggested Citation

Connor, Gregory and Korajczyk, Robert A., Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis (April 1985). Journal of Financial Economics (JFE), Vol. 15, No. 3, 1986. Available at SSRN: http://ssrn.com/abstract=1916918

Contact Information

Gregory Connor
London School of Economics & Political Science (LSE) - Department of Accounting and Finance ( email )
Houghton Street
London WC2A 2AE
United Kingdom
+44 702 955-6407 (Phone)
+44 702 955-7420 (Fax)
Robert A. Korajczyk (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 1,253
Downloads: 416
Download Rank: 38,500
Citations:  89

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo6 in 0.250 seconds