Finance Research Seminar – Dr Juan Arismendi Zambrano

Title: Arbitrage in a Relative Factor Economy

Date: 29 April 2026

Time: 14:00 to 15:00

Venue: FDC.1.16

If you would like to attend, please register using the following link

Arbitrage in a Relative Factor Economy

Speaker: Dr Juan Arismendi Zambrano

Dr Juan Arismendi Zambrano is a Lecturer (Assistant Professor) of the University College Dublin School of Business.

https://people.ucd.ie/juan.arismendi-zambrano

Abstract:

Assuming the existence of an arbitrage equilibrium, from an empirically observed set of test asset returns and test factors, I derive an optimal implicit underlying test asset returns space transformation for the existence of the equilibrium, generalizing the arbitrage pricing theory (APT) of Ross (1976) and Chamberlain and Rothschild (1983). The empirical tests show that the space measure transformation is economically and statistically significant, with an increase in the portfolio’s Sharpe ratios of 0.25 across known factor models, with industry concentration (HerfBE), and assets under management (AM) as the most relevant economic proxies in the space transformation.