arbitrage pricing theory

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00:56 Jul 17, 2020
English to Japanese translations [PRO]
Bus/Financial - Economics
Additional field(s): Business/Commerce (general), Economics, Finance (general), Marketing / Market Research, Social Science, Sociology, Ethics, etc.
English term or phrase: arbitrage pricing theory
Definition from The Economist:
The arbitrage pricing theory says that the price of a financial asset reflects a few key risk factors, such as the expected rate of interest, and how the price of the asset changes relative to the price of a portfolio of assets. If the price of an asset happens to diverge from what the theory says it should be, arbitrage by investors should bring it back into line.

Example sentence(s):
  • The Arbitrage Pricing Theory provides more flexibility than the CAPM; however, the former is more complex. The inputs that make the arbitrage pricing model complicated are the asset’s price sensitivity to factor n (βn) and the risk premium to factor n (RPn). Corporate Finance Institute
  • Over the years, arbitrage pricing theory has grown in popularity for its relatively simpler assumptions. However, arbitrage pricing theory is a lot more difficult to apply in practice because it requires a lot of data and complex statistical analysis. Investopedia
  • The test's results show that, within the scope of the methodology and data employed, the Arbitrage Pricing Theory (APT) does hold in the very emerging stock market of Thailand, while the CAPM (Capital Asset Pricing Model) fails to do so. IDEAS
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Summary of translations provided
5 +1裁定価格理論
yoshiaki sono


Translations offered

2 hrs   confidence: Answerer confidence 5/5 peer agreement (net): +1

Definition from Wikipedia:
裁定価格理論(さいていかかくりろん、英: arbitrage pricing theory, APT)とは金融資産の期待収益率のクロスセクション構造を記述する理論。ステファン・ロスにより1976年に発表された。金融資産の収益率の分布に対して資産価格モデルの一つである資本資産価格モデル(CAPM)とは異なる仮定を置き、さらに裁定概念を用いることで、CAPMが成立する為に必要な仮定を緩めることに成功している。裁定価格理論は資産価格モデルの類型の一つであるマルチファクターモデルの理論的基礎と見なされ、資産価格理論においては基本的なものの一つである。

Example sentence(s):
  • 裁定価格理論はCAPMよりも多くのリスクファクターを考えることができる。また、CAPMには、Rollの批判のように真のマーケットポートフォリオを特定する必要があるという問題が存在していたが、裁定価格理論ではマーケットポートフォリオを特定する必要はなく、リターンの正規性も仮定する必要がない。 - Mizuho Securities Co., Ltd.  
yoshiaki sono
Local time: 16:38
Native speaker of: Native in JapaneseJapanese
PRO pts in category: 4

Votes in favor of/against selecting this as the best translation of the term asked
Yes  Yasutomo Kanazawa
1 hr
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