An Intertemporal Equilibrium Beta Pricing Model
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
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, G12Accepted Paper Series
Date posted: October 24, 2011
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