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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Veröffentlicht in:Economics letters 1993, Vol.41 (3), p.313-317
Hauptverfasser: Caporale, Tony, Thorbecke, Willem
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Sprache:eng
Schlagworte:
Arbitrage
Price theory
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container_title Economics letters
container_volume 41
creator Caporale, Tony
Thorbecke, Willem
description 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.
doi_str_mv 10.1016/0165-1765(93)90159-A
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source RePEc; Periodicals Index Online; ScienceDirect Journals (5 years ago - present)
subjects Arbitrage
Price theory
title The budget deficit and the arbitrage pricing theory
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