| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1725 |
| 来源ID | Working Paper 1725 |
| The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests | |
| Bruce N. Lehmann; David M. Modest | |
| 发表日期 | 1985-10-01 |
| 出版年 | 1985 |
| 语种 | 英语 |
| 摘要 | This paper provides a detailed and extensive examination of the validity of the APT based on maximum likelihood factor analysis of large cross-sections of securities. Our empirical implementation of the theory proved in capable of explaining expected returns on portfolios composed of securities with different market capitalizations although it provided an adequate account of the expected returns of portfolios formed on the basis of dividend yield and own variance where risk adjustment with the CAPM employing the usual market proxies failed. In addition, it appears that the zero beta version of the APT is sharply rejected in favor of the riskless rate model and that there is little basis for discriminating among five and ten factor versions of the theory. |
| 主题 | Financial Economics |
| URL | https://www.nber.org/papers/w1725 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558969 |
| 推荐引用方式 GB/T 7714 | Bruce N. Lehmann,David M. Modest. The Empirical Foundations of the Arbitrage Pricing Theory I: The Empirical Tests. 1985. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w1725.pdf（871KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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