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The Arbitrage Pricing Theory and Multifactor Models of Asset ReturnsGregory ConnorLondon School of Economics & Political Science (LSE) - Department of Accounting and Finance Robert A. KorajczykNorthwestern University - Kellogg School of Management September 30, 1993 Handbooks in Operations Research and Management Science, Vol. 9 Abstract: The Arbitrage Pricing Theory (APT) of Ross (1976, 1977), and extensions of that theory, constitute an important branch of asset pricing theory and one of the primary alternatives to the Capital Asset Pricing Model (CAPM). In this chapter we survey the theoretical underpinnings, econometric testing, and applications of the APT. We aim for variety in viewpoint without attempting to be all-inclusive. Where necessary, we refer the reader to the primary literature for more complete treatments of the various research areas we discuss.
Number of Pages in PDF File: 88 Keywords: Arbitrage Pricing Theory, Multifactor Models JEL Classification: G10, G11 Accepted Paper SeriesDate posted: August 2, 2009Suggested CitationContact Information
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