Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process

Unanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance. In this paper, to generate unanticipated components of macroeconomic variables, three method...

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Formato:	article
Lenguaje:	FA
Publicado:	Shahid Bahonar University of Kerman 2014
Materias:	: arbitrage pricing theory macroeconomic variables wavelet filter Accounting. Bookkeeping HF5601-5689
Acceso en línea:	https://doaj.org/article/97e320f9c90641909f41c14fcf514df8
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id	oai:doaj.org-article:97e320f9c90641909f41c14fcf514df8
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spelling	oai:doaj.org-article:97e320f9c90641909f41c14fcf514df82021-11-04T19:46:17ZArbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process2008-89142476-292X10.22103/jak.2014.642https://doaj.org/article/97e320f9c90641909f41c14fcf514df82014-02-01T00:00:00Zhttps://jak.uk.ac.ir/article_642_15005b73faaf8cddc420252307158509.pdfhttps://doaj.org/toc/2008-8914https://doaj.org/toc/2476-292XUnanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance. In this paper, to generate unanticipated components of macroeconomic variables, three methods are employed, Wavelet filter, Change of Rate, and Autoregressive methods. In order to test the APT in Iran, unanticipated components of nonofficial exchange rate, inflation, oil price, and added value of industry are employed, using the actual return of 30 selected firms over the period of March, 2007 - August, 2010. The results revealed that the autoregressive methods and wavelet filter can produce unanticipated components properly. Also, according to the results, the APT is rejected in Tehran Stock Exchange, which indicates there are arbitrage opportunities in Tehran Stock Exchange.Shahid Bahonar University of Kermanarticle: arbitrage pricing theorymacroeconomic variableswavelet filterAccounting. BookkeepingHF5601-5689FAمجله دانش حسابداری, Vol 4, Iss 15, Pp 129-148 (2014)
institution	DOAJ
collection	DOAJ
language	FA
topic	: arbitrage pricing theory macroeconomic variables wavelet filter Accounting. Bookkeeping HF5601-5689
spellingShingle	: arbitrage pricing theory macroeconomic variables wavelet filter Accounting. Bookkeeping HF5601-5689 Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process
description	Unanticipated components of macroeconomic variables have important role in testing of Arbitrage Pricing Theory, because generating techniques may lead to false interference based on statistical significance. In this paper, to generate unanticipated components of macroeconomic variables, three methods are employed, Wavelet filter, Change of Rate, and Autoregressive methods. In order to test the APT in Iran, unanticipated components of nonofficial exchange rate, inflation, oil price, and added value of industry are employed, using the actual return of 30 selected firms over the period of March, 2007 - August, 2010. The results revealed that the autoregressive methods and wavelet filter can produce unanticipated components properly. Also, according to the results, the APT is rejected in Tehran Stock Exchange, which indicates there are arbitrage opportunities in Tehran Stock Exchange.
format	article
title	Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process
title_short	Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process
title_full	Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process
title_fullStr	Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process
title_full_unstemmed	Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process
title_sort	arbitrage pricing theory and unanticipated macroeconomics components generating process
publisher	Shahid Bahonar University of Kerman
publishDate	2014
url	https://doaj.org/article/97e320f9c90641909f41c14fcf514df8
_version_	1718444665577930752

Arbitrage Pricing Theory and Unanticipated Macroeconomics Components Generating Process

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