The Arbitrage Pricing Theory: Is it Testable?
1982; Wiley; Volume: 37; Issue: 5 Linguagem: Inglês
10.2307/2327839
ISSN1540-6261
Autores Tópico(s)Capital Investment and Risk Analysis
ResumoThe Journal of FinanceVolume 37, Issue 5 p. 1129-1140 Article The Arbitrage Pricing Theory: Is it Testable? JAY SHANKEN, JAY SHANKENUniversity of California at Berkeley. Thanks to David Babbel, Michael Brennan, Greg Connor, Ken Dunn, Mark Rubinstein, Jeff Skelton, Sheridan Titman, participants in seminars at Berkeley and Stanford and especially Jim Ohlson and Rex Thompson for their helpful comments.Search for more papers by this author JAY SHANKEN, JAY SHANKENUniversity of California at Berkeley. Thanks to David Babbel, Michael Brennan, Greg Connor, Ken Dunn, Mark Rubinstein, Jeff Skelton, Sheridan Titman, participants in seminars at Berkeley and Stanford and especially Jim Ohlson and Rex Thompson for their helpful comments.Search for more papers by this author First published: December 1982 https://doi.org/10.1111/j.1540-6261.1982.tb03607.xCitations: 124 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL 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. Citing Literature Volume37, Issue5December 1982Pages 1129-1140 RelatedInformation
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