The Arbitrage Pricing Theory and Multifactor Models of Asset Returns

Handbooks in Operations Research and Management Science, Vol. 9

88 Pages Posted: 2 Aug 2009

See all articles by Gregory Connor

Gregory Connor

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

Robert A. Korajczyk

Northwestern University - Kellogg School of Management

Date Written: September 30, 1993

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.

Keywords: Arbitrage Pricing Theory, Multifactor Models

JEL Classification: G10, G11

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: https://ssrn.com/abstract=1441422

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 )

2211 Campus Drive, Room 4357
Evanston, IL 60208-0898
United States
847-491-8336 (Phone)
847-491-7781 (Fax)

HOME PAGE: http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx#research

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