Wednesday 30 November 2011
Sunday 20 November 2011
APT
APT was my MSs dissertation topic. There is a wide literature on it. Most methods used
are advanced level of statistics.
The stocks used for empirical data did not have the Beta coefficients, which is the correlation between the movement in share price and market. Normally in UK, those would be calculated by professors in universities like LBS.
The idea was that; find the beta coefficient of each stock, by using cross sectional regressions and then insert these into time series regressions as another independent variable (one of the risk factors affecting the return on the share price). Then try to understand the affect of each risk factor on the return.
It is a topic, which I believe is going to be a dominant theory in the next decade considering the fact that there is no "risk - free" concept.
are advanced level of statistics.
The stocks used for empirical data did not have the Beta coefficients, which is the correlation between the movement in share price and market. Normally in UK, those would be calculated by professors in universities like LBS.
The idea was that; find the beta coefficient of each stock, by using cross sectional regressions and then insert these into time series regressions as another independent variable (one of the risk factors affecting the return on the share price). Then try to understand the affect of each risk factor on the return.
It is a topic, which I believe is going to be a dominant theory in the next decade considering the fact that there is no "risk - free" concept.
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