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Journal of Business & Economic Statistics Volume 6, 1988 - Issue 1
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J. D. JobsonDepartment of Finance and Management Science, University of Alberta, Edmonton, Alberta, T6G 2R6, Canada
Pages 16-20 | Published online: 02 Jul 2012

ADDITIONAL REFERENCES

  • Akaike, H., 1974. “A New Look at the Statistical Model Identification,”, IEEE Transactions on Automatic Control 19 (1974), pp. 716–723.
  • Bentler, P. M., and Bonett, Douglas G., 1980. “Significance Tests and Goodness of Fit in the Analysis of Covariance Structures,”, Psychological Bulletin 88 (1980), pp. 588–606.
  • Bower, Dorothy H., Bower, Richard S., and Logue, Dennis E., 1984. “Arbitrage Pricing Theory and Utility Stock Returns,”, Journal of Finance 39 (1984), pp. 1041–1054.
  • Cho, Chinhyung D., 1984. “On Testing the Arbitrage Pricing Theory: Inter Battery Factor Analysis,”, Journal of Finance 39 (1984), pp. 1486–1502.
  • Cudeck, Robert, and Browne, Michael W., 1983. “Cross-Validation of Covariance Structures,”, Multivariate Behavioral Research 18 (1983), pp. 147–167.
  • Farrell, J., 1974. “Analyzing Covariation of Returns to Determine Homogenous Stock Grouping,”, Journal of Business 47 (1974), pp. 186–207.
  • Gehr, Adam, 1978. “Some Tests of the Arbitrage Pricing Theory,”, Journal of the Midwest Finance Association 7 (1978), pp. 91–106.
  • Gibbons, Michael R., 1986. “Empirical Examination of the Return Generating Process of the Arbitrage Pricing Theory,”. Stanford University, Graduate School of Business.; 1986, Research Paper 881.
  • Gultekin, Bulent N., and Rogalski, Richard J., 1985. “Government Bond Returns, Measurement of Interest Rate Risk, and the Arbitrage Pricing Theory,”, Journal of Finance 40 (1985), pp. 43–61.
  • Joreskog, K., 1981. “Analysis of Covariance Structures,”, Scandinavian Journal of Statistics 8 (1981), pp. 65–92.
  • Livingston, M., 1977. “Industry Movements of Common Stocks,”, Journal of Finance 32 (1977), pp. 861–874.
  • Meyers, Stephen, 1973. “A Re-examination of Market and Industry Factors in Stock Price Behavior,”, Journal of Finance 28 (1973), pp. 695–705.
  • Mosteller, Frederick, and Tukey, John W., 1977. Data Analysis and Regression. Reading, MA: Addison-Wesley.; 1977.
  • Perry, P., 1982. “The Time Variance Relationship of Security Returns: Implications for the Return-Generating Stochastic Process,”, Journal of Finance 37 (1982), pp. 857–869.
  • Scholes, Myron, and Williams, Joseph, 1977. “Estimating Betas From Nonsynchronous Data,”, Journal of Financial Economics 5 (1977), pp. 309–327.
  • Schwartz, G., 1978. “Estimating the Dimension of a Model,”, The Annals of Statistics 6 (1978), pp. 461–464.
  • Trzcinka, Charles, 1986. “On The Number of Factors in the Arbitrage Pricing Model,”, Journal of Finance 41 (1986), pp. 347–368.
  • Tucker, L. R., and Lewis, C., 1973. “A Reliability Coefficient for Maximum Likelihood Factor Analysis,”, Psychometrika 38 (1973), pp. 1–10.

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