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Charles Trzcinka (1986)
On the Number of Factors in the Arbitrage Pricing ModelJournal of Finance, 41
Stephen Brown, Mark Weinstein (1983)
A New Approach to Testing Asset Pricing Models: The Bilinear ParadigmJournal of Finance, 38
S. Ross (1975)
Return, Risk and Arbitrage
E. Fama, James MacBeth (1973)
Risk, Return, and Equilibrium: Empirical TestsJournal of Political Economy, 81
R. Pari, Sonnan Chen (1982)
AN EMPIRICAL TEST OF THE ARBITRAGE PRICING THEORYJournal of Financial Research, 7
Richard Roll, S. Ross (1980)
An Empirical Investigation of the Arbitrage Pricing TheoryJournal of Finance, 35
N. Chen (1983)
Some Empirical Tests of the Theory of Arbitrage PricingJournal of Finance, 38
D. Cho, E. Elton, M. Gruber (1984)
On the Robustness of the Roll and Ross Arbitrage Pricing TheoryJournal of Financial and Quantitative Analysis, 19
S. Ross (1976)
The arbitrage theory of capital asset pricingJournal of Economic Theory, 13
The typical methodology for estimating an Arbitrage Pricing Model is inadequate with respect to two issues. First, the statistical tests used to determine the sufficient number of factors are inappropriate and may actually overstate the relevant number of factors. Second, the methodology fails to determine whether the estimated model satisfies equilibrium conditions. A simple test that corrects both deficiencies is developed in this paper.
The Journal of Financial Research – Wiley
Published: Jun 1, 1987
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