Abstract

http://ssrn.com/abstract=1948572
 
 

Citations (13)



 


 



An Intertemporal Equilibrium Beta Pricing Model


Gregory Connor


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

Robert A. Korajczyk


Northwestern 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

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Date posted: October 24, 2011  

Suggested Citation

Connor, Gregory and Korajczyk, Robert A., An Intertemporal Equilibrium Beta Pricing Model (June 1, 1989). Review of Financial Studies, Vol 2, No. 3, pp. 373-392, 1989. Available at SSRN: http://ssrn.com/abstract=1948572

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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