The arbitrage theory of capital asset pricing¶
Ross, S. A. (1976). The arbitrage theory of capital asset pricing. Journal of Economic Theory, 13(3), 341-360.
Cited by¶
4 citations across 4 artifacts.
Each citation links to the sentence it supports in the citing article.
Primes¶
- Arbitrage (Finance)
- In academic finance, this represents a violation of the Law of One Price and signals market inefficiency, as Ross (1976) formalized in his Arbitrage Pricing Theory by deriving asset returns from the no-arbitrage requirement that costless, riskless self-financing portfolios cannot earn positive expected return.
This sourceFoundational derivation of the Arbitrage Pricing Theory (APT): equilibrium expected returns are pinned down by the no-arbitrage requirement that costless, riskless self-financing portfolios cannot earn positive expected return; formalizes the textbook three-condition definition of arbitrage.
- In academic finance, this represents a violation of the Law of One Price and signals market inefficiency, as Ross (1976) formalized in his Arbitrage Pricing Theory by deriving asset returns from the no-arbitrage requirement that costless, riskless self-financing portfolios cannot earn positive expected return.
- Arbitrage (Generalized)
- Cross-instrument arbitrage exploits equivalent cash flows priced differently (stock vs. synthetic replication using options and bonds), as Ross (1976) develops in his Arbitrage Pricing Theory, where no-arbitrage conditions across factor exposures pin down the structure of asset returns.
This sourceFoundational derivation of the Arbitrage Pricing Theory (APT): equilibrium expected returns are pinned down by the no-arbitrage requirement that costless, riskless self-financing portfolios cannot earn positive expected return; formalizes the textbook three-condition definition of arbitrage.
- Cross-instrument arbitrage exploits equivalent cash flows priced differently (stock vs. synthetic replication using options and bonds), as Ross (1976) develops in his Arbitrage Pricing Theory, where no-arbitrage conditions across factor exposures pin down the structure of asset returns.
- Discounting (Present Value)
- and Ross (1976)
This sourceDerives the Arbitrage Pricing Theory (APT): no-arbitrage pins expected returns as approximately linear in factor loadings; supports the claim that Ross developed frameworks for risk-adjusted rates.
- and Ross (1976)
- Risk–Return Tradeoff
- ); arbitrage pricing theory (Ross
This sourceFoundational derivation of the Arbitrage Pricing Theory (APT): equilibrium expected returns are pinned down by the no-arbitrage requirement that costless, riskless self-financing portfolios cannot earn positive expected return; formalizes the textbook three-condition definition of arbitrage.
- ); arbitrage pricing theory (Ross
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