Journal ArticleDOI
Performance measurement with the arbitrage pricing theory: A new framework for analysis
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TLDR
In this paper, the authors developed a theory and econometric method of portfolio performance measurement using a competitive equilibrium version of the Arbitrage Pricing Theory, and showed that the Jensen coefficient and the appraisal ratio of Treynor and Black are theoretically compatible with the arbitrage pricing theory.About:
This article is published in Journal of Financial Economics.The article was published on 1986-03-01. It has received 580 citations till now. The article focuses on the topics: Arbitrage pricing theory & Treynor ratio.read more
Citations
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Journal ArticleDOI
Forecasting Using Principal Components From a Large Number of Predictors
James H. Stock,Mark W. Watson +1 more
TL;DR: In this paper, the authors consider forecasting a single time series when there are many predictors (N) and time series observations (T), and they show that the difference between the feasible forecasts and the infeasible forecasts constructed using the actual values of the factors converges in probability to 0 as both N and T grow large.
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Determining the Number of Factors in Approximate Factor Models
Jushan Bai,Serena Ng +1 more
TL;DR: In this article, the convergence rate for the factor estimates that will allow for consistent estimation of the number of factors is established, and some panel criteria are proposed to obtain the convergence rates.
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Macroeconomic Forecasting Using Diffusion Indexes
James H. Stock,Mark W. Watson +1 more
TL;DR: This paper used principal component analysis (PCA) to predict macroeconomic time series variable using a large number of predictors, and the predictors were summarized using a small number of indexes constructed by principal component analyzer.
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Inferential Theory for Factor Models of Large Dimensions
TL;DR: In this paper, the authors developed an inferential theory for factor models of large dimensions and derived the rate of convergence and the limiting distributions of the estimated factors, factor loadings, and common components.
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A PANIC Attack on Unit Roots and Cointegration
Jushan Bai,Serena Ng +1 more
TL;DR: In this paper, a new methodology called PANIC (Pan Analysis of Nonstationarity in Idiosyncratic and Common components) is proposed to detect whether the nonstationarity of a series is pervasive or variable-specific.
References
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Journal ArticleDOI
The arbitrage theory of capital asset pricing
TL;DR: Ebsco as mentioned in this paper examines the arbitrage model of capital asset pricing as an alternative to the mean variance pricing model introduced by Sharpe, Lintner and Treynor.
Journal ArticleDOI
Linear Statistical Inference and Its Applications.
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The performance of mutual funds in the period 1945–1964
TL;DR: Jensen's Alpha as discussed by the authors is a risk-adjusted measure of portfolio performance that estimates how much a manager's forecasting ability contributes to the fund's returns, based on the theory of the pricing of capital assets by Sharpe (1964), Lintner (1965a) and Treynor (Undated).
Book
Introduction to matrix computations
TL;DR: Rounding-Error Analysis of Solution of Triangular Systems and of Gaussian Elimination.