How to cite this paper
Fazli, S., Shlan, S., Radsar, S & Radsar, M. (2014). An investigation on the relationship between arbitrage and macro-economic indicators: A case study of Tehran Stock Exchange.Management Science Letters , 4(4), 635-640.
Refrences
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Antoniou, A., Garrette, I., & Priestley, R. (1998). Macroeconomic variables as common pervasive risk factors and the empirical content of the Arbitrage Pricing Theory. Journal of Empirical Finance, 5, 221–240.
Azeez, A. A. & Yonezawa, Y. (2006). Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market. Japan and the World Economy, 18, 568–591.
Beenstock, M. & Chan, K. (1988). Economic forces and London stock market. Oxford Bulletin of Economics and Statistics, 50(1), 27–39.
Berry, M. A., Burmeister E., & McElroy M. (1988). Sorting out risks using known APT factors. Financial Analyst Journal, 44(2), 29–42.
Bilson, C. M., Brailsford, T. J., & Hooper, V. J. (2001). Selecting macroeconomic variables as explanatory factors of emerging stock market returns. Pacific-Basin Finance Journal, 9(4), 401-426.
Black, F. (1972). The capital market equilibrium with restricted borrowing. Journal of Business, 45, 444–455.
Brealey, R., Myers, S., & Allen F. (2006). Principles of Corporate finance. 8th edition. Boston: McGraw-Hill/Irwin.
Breeden, D. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7(3), 265–296.
Burmeister, E., McElroy, M.B. (1988). Joint estimation of factor sensitivities and risk premia for the Arbitrage Pricing Theory. Journal of Finance, 43(3), 721–733.
Chen, N. (1983). Some empirical tests of the theory of arbitrage pricing. The Journal of Finance, 38(5): 1393–1414.
Chen, N.F., Roll, R., & Ross, S.A. (1986). Economic forces and the stock market. Journal of Business, 59, 383–403.
Cho, C. D. (1984). On testing the Arbitrage Pricing Theory: Inter-battery factor analysis. The Journal of Finance, 39(5), 1485–1502.
Cho, C. D, Eun, S, & Senbet, L. W. (1986). International Arbitrage Pricing Theory: An empirical investigation.The Journal of Finance, 41, 313–329.
Choi, J.J., Hiraki, T., & Takezawa, N., (1998). Is foreign exchange risk priced in the Japanese stock market?. Journal of Financial and Quantitative Analysis, 33(3), 361-382.
Connor, G. & Korajczyk, R. (1986). Performance measurement with the Arbitrage Pricing Theory: A new framework for analysis. Journal of Financial Economics, 15(3), 373–394.
Cox, J., Ingersoll, J., & Ross, S. (1985). An intertemporal general equilibrium model of asset prices. Econometrica, 53(2), 363–384.
Cuthbertson, K. (1996). Quantitative financial economics: Stocks, bonds and foreign exchange. Chichester [etc.]: Wiley.
Dhankar, S. & Singh, R. S. (2005). Arbitrage Pricing Theory and the Capital Asset Pricing Model – evidence from the Indian stock market. Journal of Financial Management & Analysis, 18(1), 14–27.
Elton, E.J., Gruber, M.J., Brown, S.J., & Goetzmann, W.N. (2003). Modern Portfolio Theory and Investment Analysis. 6th ed. John Wiley & Sons, New York.
Fama, E.F., & MacBeth, J. (1973). Risk and return: some empirical tests. Journal of Political Economy, 81(3), 607-636.
Gehr, A. (1978). Some tests of the Arbitrage Pricing Theory. Journal of the Midwest Finance Association, 7, 91–105.
Gilles, R. & Leroy, S. F. (1991). On the Arbitrage Pricing Theory. Economic Theory, 1(3), 213–229.
Groenewold, N. & Fraser, P. (1997). Share prices and macroeconomic factors. Journal of Business Finance and Accounting, 24(9), 1367-1381.
Günsel, N., & Cukur, S. (2007). The effects of macroeconomic factors on the London stock returns: a sectoral approach. International Research Journal of Finance and Economics, 10, 140-152.
Hamao, Y. (1988). An empirical examination of the Arbitrage Pricing Theory. Japan and World Economy, 1(1), 45–61.
Haugen, R. A. (1993). Modern Investment Theory. 3rd ed. London : Prentice-Hall.
Josev, T., Brooks, R. D., & Faff, R. W. (2001). Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling. Applied Financial Economics, 11(2), 157–163.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13–37.
Long, J. (1974). Stock prices, inflation, and the term structure of interest rates. Journal of Financial Economics, 1(2), 131–170.
McElroy, M.B., & Buremeister, E. (1988). Arbitrage Pricing Theory as a restricted nonlinear multivariate regression model: iterated nonlinear seemingly unrelated regression estimates. Journal of Business and Economic Statistics, 6(1), 29–42.
McElroy, M.B., Buremeister, E., & Kent D. W. (1985). Two estimators for the APT model when factors are measured. Economics Letters, 19(3), 271-275.
Merton, R. C. (1973). An intertemporal Capital Asset Pricing Model. Econometrica, 41(5), 867–887.
Morel, C. (2001). Stock selection using a multifactor model – empirical evidence from the French stock market. The European Journal of Finance, 7(4), 312–334.
Priestley, R. (1996). The Arbitrage Pricing Theory, macroeconomic and financial factors and expectations generating processes. Journal of Banking & Finance, 20(5), 869–890.
Roll, R., Ross, S. (1980). An empirical investigation of the Arbitrage Pricing Theory. Journal of Finance, 35, 1073–1103.
Ross, S. A. (1976). The Arbitrage Pricing Theory of Capital Asset Pricing. Journal of Economic Theory, 13(2), 341–360.
Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics, 7(2), 407–425.
Sharpe, W. (1982). Factors in NYSE security returns 1931–1979. Journal of portfolio management, 8(4), 5–19.
Sharpe, W. (1964). Capital Asset Prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442.
Trzinka, C. (1986). On the number of the factors in the Arbitrage Pricing model. The Journal of Finance, 41(2), 347–368.
Van Rensburg, P. (2000). Macroeconomic variables and the cross-section of Johannesburg Stock Exchange returns. South African Journal of Business Management, 31(1), 31–43.
Watsham, T.J. & Parramore, K. (1997). Quantitative Methods in Finance. 1st ed. United Kingdom, London. Thomson Learning.
Yli-Olli, P., Virtanen, I., & Martikainen, T. (1990). Common factors in the arbitrage pricing model in two Scandinavian countries. Omega, 18(6), 615-624.
Antoniou, A., Garrette, I., & Priestley, R. (1998). Macroeconomic variables as common pervasive risk factors and the empirical content of the Arbitrage Pricing Theory. Journal of Empirical Finance, 5, 221–240.
Azeez, A. A. & Yonezawa, Y. (2006). Macroeconomic factors and the empirical content of the Arbitrage Pricing Theory in the Japanese stock market. Japan and the World Economy, 18, 568–591.
Beenstock, M. & Chan, K. (1988). Economic forces and London stock market. Oxford Bulletin of Economics and Statistics, 50(1), 27–39.
Berry, M. A., Burmeister E., & McElroy M. (1988). Sorting out risks using known APT factors. Financial Analyst Journal, 44(2), 29–42.
Bilson, C. M., Brailsford, T. J., & Hooper, V. J. (2001). Selecting macroeconomic variables as explanatory factors of emerging stock market returns. Pacific-Basin Finance Journal, 9(4), 401-426.
Black, F. (1972). The capital market equilibrium with restricted borrowing. Journal of Business, 45, 444–455.
Brealey, R., Myers, S., & Allen F. (2006). Principles of Corporate finance. 8th edition. Boston: McGraw-Hill/Irwin.
Breeden, D. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7(3), 265–296.
Burmeister, E., McElroy, M.B. (1988). Joint estimation of factor sensitivities and risk premia for the Arbitrage Pricing Theory. Journal of Finance, 43(3), 721–733.
Chen, N. (1983). Some empirical tests of the theory of arbitrage pricing. The Journal of Finance, 38(5): 1393–1414.
Chen, N.F., Roll, R., & Ross, S.A. (1986). Economic forces and the stock market. Journal of Business, 59, 383–403.
Cho, C. D. (1984). On testing the Arbitrage Pricing Theory: Inter-battery factor analysis. The Journal of Finance, 39(5), 1485–1502.
Cho, C. D, Eun, S, & Senbet, L. W. (1986). International Arbitrage Pricing Theory: An empirical investigation.The Journal of Finance, 41, 313–329.
Choi, J.J., Hiraki, T., & Takezawa, N., (1998). Is foreign exchange risk priced in the Japanese stock market?. Journal of Financial and Quantitative Analysis, 33(3), 361-382.
Connor, G. & Korajczyk, R. (1986). Performance measurement with the Arbitrage Pricing Theory: A new framework for analysis. Journal of Financial Economics, 15(3), 373–394.
Cox, J., Ingersoll, J., & Ross, S. (1985). An intertemporal general equilibrium model of asset prices. Econometrica, 53(2), 363–384.
Cuthbertson, K. (1996). Quantitative financial economics: Stocks, bonds and foreign exchange. Chichester [etc.]: Wiley.
Dhankar, S. & Singh, R. S. (2005). Arbitrage Pricing Theory and the Capital Asset Pricing Model – evidence from the Indian stock market. Journal of Financial Management & Analysis, 18(1), 14–27.
Elton, E.J., Gruber, M.J., Brown, S.J., & Goetzmann, W.N. (2003). Modern Portfolio Theory and Investment Analysis. 6th ed. John Wiley & Sons, New York.
Fama, E.F., & MacBeth, J. (1973). Risk and return: some empirical tests. Journal of Political Economy, 81(3), 607-636.
Gehr, A. (1978). Some tests of the Arbitrage Pricing Theory. Journal of the Midwest Finance Association, 7, 91–105.
Gilles, R. & Leroy, S. F. (1991). On the Arbitrage Pricing Theory. Economic Theory, 1(3), 213–229.
Groenewold, N. & Fraser, P. (1997). Share prices and macroeconomic factors. Journal of Business Finance and Accounting, 24(9), 1367-1381.
Günsel, N., & Cukur, S. (2007). The effects of macroeconomic factors on the London stock returns: a sectoral approach. International Research Journal of Finance and Economics, 10, 140-152.
Hamao, Y. (1988). An empirical examination of the Arbitrage Pricing Theory. Japan and World Economy, 1(1), 45–61.
Haugen, R. A. (1993). Modern Investment Theory. 3rd ed. London : Prentice-Hall.
Josev, T., Brooks, R. D., & Faff, R. W. (2001). Testing a two factor APT model on Australian industry equity portfolios: the effect of intervaling. Applied Financial Economics, 11(2), 157–163.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47(1), 13–37.
Long, J. (1974). Stock prices, inflation, and the term structure of interest rates. Journal of Financial Economics, 1(2), 131–170.
McElroy, M.B., & Buremeister, E. (1988). Arbitrage Pricing Theory as a restricted nonlinear multivariate regression model: iterated nonlinear seemingly unrelated regression estimates. Journal of Business and Economic Statistics, 6(1), 29–42.
McElroy, M.B., Buremeister, E., & Kent D. W. (1985). Two estimators for the APT model when factors are measured. Economics Letters, 19(3), 271-275.
Merton, R. C. (1973). An intertemporal Capital Asset Pricing Model. Econometrica, 41(5), 867–887.
Morel, C. (2001). Stock selection using a multifactor model – empirical evidence from the French stock market. The European Journal of Finance, 7(4), 312–334.
Priestley, R. (1996). The Arbitrage Pricing Theory, macroeconomic and financial factors and expectations generating processes. Journal of Banking & Finance, 20(5), 869–890.
Roll, R., Ross, S. (1980). An empirical investigation of the Arbitrage Pricing Theory. Journal of Finance, 35, 1073–1103.
Ross, S. A. (1976). The Arbitrage Pricing Theory of Capital Asset Pricing. Journal of Economic Theory, 13(2), 341–360.
Rubinstein, M. (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics, 7(2), 407–425.
Sharpe, W. (1982). Factors in NYSE security returns 1931–1979. Journal of portfolio management, 8(4), 5–19.
Sharpe, W. (1964). Capital Asset Prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442.
Trzinka, C. (1986). On the number of the factors in the Arbitrage Pricing model. The Journal of Finance, 41(2), 347–368.
Van Rensburg, P. (2000). Macroeconomic variables and the cross-section of Johannesburg Stock Exchange returns. South African Journal of Business Management, 31(1), 31–43.
Watsham, T.J. & Parramore, K. (1997). Quantitative Methods in Finance. 1st ed. United Kingdom, London. Thomson Learning.
Yli-Olli, P., Virtanen, I., & Martikainen, T. (1990). Common factors in the arbitrage pricing model in two Scandinavian countries. Omega, 18(6), 615-624.