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G. Chamberlain, M. Rothschild (1981)
Arbitrage and Mean-Variance Analysis on Large Asset MarketsCapital Markets: Asset Pricing & Valuation
S. Ross (1977)
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Marc Reinganum (1981)
The Arbitrage Pricing Theory: Some Empirical ResultsJournal of Finance, 36
Richard Roll (1977)
A Critique of the Asset Pricing Theory''s Tests: Part I
M. Brennan (1981)
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DiscussionJournal of Finance, 36
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ABSTRACT This paper challenges the view that the Arbitrage Pricing Theory (APT) is inherently more susceptible to empirical verification than the Capital Asset Pricing Model (CAPM). The usual formulation of the testable implications of the APT is shown to be inadequate, as it precludes the very expected return differentials which the theory attempts to explain. A recent competitive‐equilibrium extension of the APT may be testable in principle. In order to implement such a test, however, observation of the return on the true market portfolio appears to be necessary.
The Journal of Finance – Wiley
Published: Dec 1, 1982
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