This paper derives Ross's mutual fund separation theory and a new, equilibrium version of
Ross's arbitrage pricing theory as special cases of a general theory. The paper also reveals …

… Connor and Korajczyk suggested estimating both a five-factor model and a six-factor model
… the results of Connor and Korajczyk using a somewhat different sample. 6 Connor and Korajc…

This paper develops a theory and econometric method of portfolio performance measurement
using a competitive equilibrium version of the Arbitrage Pricing Theory. We show that the …

We introduce an alternative version of the Fama–French three-factor model of stock returns
together with a new estimation methodology. We assume that the factor betas in the model …

This paper develops a new estimation procedure for characteristic‐based factor models of
stock returns. We treat the factor model as a weighted additive nonparametric regression …

We use an asymptotic principal components technique to estimate the pervasive factors
influencing asset returns and to test the restrictions imposed by static and intertemporal …

An important issue in applications of multifactor models of asset returns is the appropriate
number of factors. Most extant tests for the number of factors are valid only for strict factor …

This study empirically examines the Fama-French three-factor model of stock returns for
India. We find evidence for pervasive market, size, and book-to-market factors in Indian stock …

This article examines the risk and return characteristics of US mutual funds. We employ an
equilibrium version of the Arbitrage Pricing Theory (APT) and a principal-components-based …

Simple factor models of worldwide equity returns are used to explore the level and trend in
international capital market integration. Global influences and national influences are of …