{"title":"绩效评估套利定价理论:来自印度的证据","authors":"Dr. A. Balachandram","doi":"10.38193/ijrcms.2022.4305","DOIUrl":null,"url":null,"abstract":"This research aims to assess the efficacy of the Arbitrage Pricing Theory in terms of predictability and forecasting for a given time horizon. The CNX Auto index and its constituents were chosen for this purpose using stratified random sampling from various NSE sectoral indices. Returns for the period of 2010-20 are computed from the index and constituents' weekly closing prices for the period under consideration are processed using a two stage multi regression model. The fitted APT model's predicting performance is supported by strong evidence.","PeriodicalId":145800,"journal":{"name":"International Journal of Research in Commerce and Management Studies","volume":"60 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"PERFORMANCE EVALUATION ARBITRAGE PRICING THEORY: EVIDENCE FROM INDIA\",\"authors\":\"Dr. A. Balachandram\",\"doi\":\"10.38193/ijrcms.2022.4305\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This research aims to assess the efficacy of the Arbitrage Pricing Theory in terms of predictability and forecasting for a given time horizon. The CNX Auto index and its constituents were chosen for this purpose using stratified random sampling from various NSE sectoral indices. Returns for the period of 2010-20 are computed from the index and constituents' weekly closing prices for the period under consideration are processed using a two stage multi regression model. The fitted APT model's predicting performance is supported by strong evidence.\",\"PeriodicalId\":145800,\"journal\":{\"name\":\"International Journal of Research in Commerce and Management Studies\",\"volume\":\"60 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"1900-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Research in Commerce and Management Studies\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.38193/ijrcms.2022.4305\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Research in Commerce and Management Studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.38193/ijrcms.2022.4305","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
PERFORMANCE EVALUATION ARBITRAGE PRICING THEORY: EVIDENCE FROM INDIA
This research aims to assess the efficacy of the Arbitrage Pricing Theory in terms of predictability and forecasting for a given time horizon. The CNX Auto index and its constituents were chosen for this purpose using stratified random sampling from various NSE sectoral indices. Returns for the period of 2010-20 are computed from the index and constituents' weekly closing prices for the period under consideration are processed using a two stage multi regression model. The fitted APT model's predicting performance is supported by strong evidence.
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