The Journal of Finance publishes leading research across all the major fields of finance. It is one of the most widely cited journals in academic finance, and in all of economics. Each of the six issues per year reaches over 8,000 academics, finance professionals, libraries, and government and financial institutions around the world. The journal is the official publication of The American Finance Association, the premier academic organization devoted to the study and promotion of knowledge about financial economics.
AFA members can log in to view full-text articles below.
View past issues
Search the Journal of Finance:
Search results: 2.
TEST OF A STOCK VALUATION MODEL
Published: 05/01/1970 | DOI: 10.1111/j.1540-6261.1970.tb00672.x
Dorothy H. Bower, Richard S. Bower
Arbitrage Pricing Theory and Utility Stock Returns
Published: 09/01/1984 | DOI: 10.1111/j.1540-6261.1984.tb03891.x
DOROTHY H. BOWER, RICHARD S. BOWER, DENNIS E. LOGUE
This paper presents some new evidence that Arbitrage Pricing Theory may lead to different and better estimates of expected return than the Capital Asset Pricing Model, particularly in the case of utility stock returns. Results for monthly portfolio returns for 1971–1979 lead to the conclusion that regulators should not adopt the single‐factor risk approach of the CAPM as the principal measure of risk, but give greater weight to APT, whose multiple factors provide a better indication of asset risk and a better estimate of expected return.