Autoregressive multifactor APT model for U.S. Equity Markets

Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns on twenty U.S. stocks, using monthly data over the period 2000-2005. Our findings indicate that, apart from the CAPM beta factor, at least five other factors are significant in determining time series and cross sectional variations in returns. The times series regression establishes factor loadings and the cross sectional regression gives the risk premiums associated with these factors.Equity Pricing; APT; Arbitrage pricing theory; Multifactor model; Security; Pricing; CAPM

Deformed Twistors and Higher Spin Conformal (Super-)Algebras in Six Dimensions

Massless conformal scalar field in six dimensions corresponds to the minimal unitary representation (minrep) of the conformal group SO(6,2). This minrep admits a family of deformations labelled by the spin t of an SU(2)_T group, which is the 6d analog of helicity in four dimensions. These deformations of the minrep of SO(6,2) describe massless conformal fields that are symmetric tensors in the spinorial representation of the 6d Lorentz group. The minrep and its deformations were obtained by quantization of the nonlinear realization of SO(6,2) as a quasiconformal group in arXiv:1005.3580. We give a novel reformulation of the generators of SO(6,2) for these representations as bilinears of deformed twistorial oscillators which transform nonlinearly under the Lorentz group SO(5,1) and apply them to define higher spin algebras and superalgebras in AdS_7. The higher spin (HS) algebra of Fradkin-Vasiliev type in AdS_7 is simply the enveloping algebra of SO(6,2) quotiented by a two-sided ideal (Joseph ideal) which annihilates the minrep. We show that the Joseph ideal vanishes identically for the quasiconformal realization of the minrep and its enveloping algebra leads directly to the HS algebra in AdS_7. Furthermore, the enveloping algebras of the deformations of the minrep define a discrete infinite family of HS algebras in AdS_7 for which certain 6d Lorentz covariant deformations of the Joseph ideal vanish identically. These results extend to superconformal algebras OSp(8*|2N) and we find a discrete infinite family of HS superalgebras as enveloping algebras of the minimal unitary supermultiplet and its deformations. Our results suggest the existence of a discrete family of (supersymmetric) HS theories in AdS_7 which are dual to free (super)conformal field theories (CFTs) or to interacting but integrable (supersymmetric) CFTs in 6d.Comment: 30 pages; Latex file; Discussion in section 3.2 expanded; typos corrected; minor modifications; version to be published in JHE