The budget deficit and the arbitrage pricing theory

The budget deficit and the arbitrage pricing theory

Non-linear SUR techniques are used to demonstrate that the budget deficit is a priced factor in the Arbitrage Pricing Theory. The results also indicate that unexpected increases in the deficit lower stock prices.

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Bibliographische Detailangaben
Veröffentlicht in:Economics letters 1993, Vol.41 (3), p.313-317
Hauptverfasser: Caporale, Tony, Thorbecke, Willem
Format: Artikel
Sprache:eng
Schlagworte:
Arbitrage
Price theory
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Beschreibung
Zusammenfassung:Non-linear SUR techniques are used to demonstrate that the budget deficit is a priced factor in the Arbitrage Pricing Theory. The results also indicate that unexpected increases in the deficit lower stock prices.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(93)90159-A