Journal of Financial and Quantitative Analysis Vol. 26 No. 1 1991
Fundamentals, Factor Structure, and Multibeta Models in Large Asset Markets
Abstract
The paper provides sufficient conditions under which a nonrandom economic variable specific to some asset (the dependent variable) can be represented as a linear combination of the betas of some random characteristics of the asset (the independent variables) with some economy-wide factors. This generalizes Ross' APT that proves the above in the case where the dependent variables are expected returns and the independent variables are returns. This generalization will provide a theoretical basis for many existing multibeta relationships beyond the setting of asset pricing models and, thus, motivate their wider use in empirical and theoretical research.
- DOI
- 10.2307/2331239
- Volume
- 26
- Issue
- 1
- Pages
- 1
- Sources
- crossref openalex