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The Arbitrage Pricing Theory and Multifactor Models of Asset Returns


Gregory Connor


London School of Economics & Political Science (LSE) - Department of Accounting and Finance

Robert A. Korajczyk


Northwestern 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

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Date posted: August 2, 2009  

Suggested Citation

Connor, Gregory and Korajczyk, Robert A., The Arbitrage Pricing Theory and Multifactor Models of Asset Returns (September 30, 1993). Handbooks in Operations Research and Management Science, Vol. 9. Available at SSRN: http://ssrn.com/abstract=1441422

Contact Information

Gregory Connor
London School of Economics & Political Science (LSE) - Department of Accounting and Finance ( email )
Houghton Street
London WC2A 2AE
United Kingdom
+44 702 955-6407 (Phone)
+44 702 955-7420 (Fax)
Robert A. Korajczyk (Contact Author)
Northwestern University - Kellogg School of Management ( email )
2001 Sheridan Road
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)
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