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An Intertemporal Equilibrium Beta Pricing ModelGregory ConnorLondon School of Economics & Political Science (LSE) - Department of Accounting and Finance Robert A. KorajczykNorthwestern University - Kellogg School of Management June 1, 1989 Review of Financial Studies, Vol 2, No. 3, pp. 373-392, 1989 Abstract: This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory (APT) and explores the econometric implications of this model under various restrictions on investor preferences and on the dynamic behavior of dividends. We describe conditions under which the econometric techniques typically used for estimating and testing the APT can be shown to be consistent with our economic model. We relate our intertemporal version of the APT to the static APT and to Merton's intertemporal capital asset pricing model.
Number of Pages in PDF File: 33 Keywords: Arbitrage Pricing Theory, APT, Asset Pricing Model JEL Classification: G10, G12 Accepted Paper SeriesDate posted: October 24, 2011Suggested CitationContact Information
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