简介:Mostresultsofthetraditionalfinancetheorywerebasedontheprincipleofnoarbitrageopportunityexists.However,thisconditionissoweakthatitcanbeeasilysatisfied,thusweintroducetheprincipleofunallowableessentialarbitragetoreplacethetraditionalprincipleofnoarbitrageopportunityexistsasastandardforthefinancialmarketbeingperfect.
简介:Thisstudyinvestigatestheeffectsofchangesinlocalmacroeconomicriskfactorsonreturnsonthebanking,chemicals,insurance,telecommunication,andutilitiesindustriesintheU.S.market.Usingamultifactorpricingmodelanddatafrom1998:01to2017:12,empiricalresultsshowthatthebanking,chemical,andtelecommunicationindustriesshowmoredifferencesintheirstockreactionstolocalmacroeconomicriskfactors.Theinsuranceandtelecommunicationindustriesdonotreactsignificantlytoriskfactors.However,alltheindustriesshowstrongreactionstolocalmarketportfolio.