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An Intertemporal Equilibrium Beta Pricing Model

Review of Financial Studies, Vol 2, No. 3, pp. 373-392, 1989

33 Pages Posted: 24 Oct 2011  

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: June 1, 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.

Keywords: Arbitrage Pricing Theory, APT, Asset Pricing Model

JEL Classification: G10, G12

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: https://ssrn.com/abstract=1948572

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 )

Kellogg School of Management
2211 Campus Drive, Room 4357
Evanston, IL 60208
United States
847-491-8336 (Phone)
847-491-5719 (Fax)

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

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