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.
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Stock Return Anomalies and the Tests of the APT
Published: 12/01/1987 | DOI: 10.1111/j.1540-6261.1987.tb04362.x
MUSTAFA N. GULTEKIN, N. BULENT GULTEKIN
This paper shows that the empirical tests of the Arbitrage Pricing Theory (APT) model are very sensitive to the anomalies observed in January in the stock returns data. There is a strong seasonal pattern in the estimates of the risk premia from the APT model. The most important implication of the findings in this paper is that the APT model can explain the risk‐return relation mostly for January. Once the January returns are excluded from the data, there is no significant relation between the expected stock returns and the risk measures predicted by the APT model.
Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets
Published: 09/01/1989 | DOI: 10.1111/j.1540-6261.1989.tb02627.x
MUSTAFA N. GULTEKIN, N. BULENT GULTEKIN, ALESSANDRO PENATI
The paper focuses on two countries, Japan and the U.S., to test the integration of capital markets. In Japan, the enactment of the Foreign Exchange and Foreign Trade Control Law in December of 1980 amounted to a true regime switch that virtually eliminated capital controls. Using multifactor asset pricing models, we show that the price of risk in the U.S. and Japanese stock markets was different before, but not after, the liberalization. This evidence supports the view that governments are the source of international capital market segmentation.
New Tests of the APT and Their Implications
Published: 07/01/1985 | DOI: 10.1111/j.1540-6261.1985.tb04988.x
PHOEBUS J. DHRYMES, IRWIN FRIEND, MUSTAFA N. GULTEKIN, N. BULENT GULTEKIN
This paper provides new tests of the arbitrage pricing theory (APT). Test results appear to be extremely sensitive to the number of securities used in the two stages of the tests of the APT model. New tests also indicate that unique risk is fully as important as common risk. While these tests have serious limitations, they are inconsistent with the APT.