The empirical foundations of the arbitrage pricing theory

This paper uses maximum-likelihood factor analysis of large cross-sections to examine the validity of the arbitrage pricing theory (APT). We are unable to explain the expected returns on firm size portfolios, although we do explain the expected returns on portfolios formed on the basis of dividend y...

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Bibliographische Detailangaben

Veröffentlicht in:	Journal of financial economics 1988-09, Vol.21 (2), p.213-254
Hauptverfasser:	Lehmann, Bruce N., Modest, David M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Arbitrage Capital assets CAPM Economic models Economic theory Mathematical analysis Portfolio performance Pricing Testing Theory
Online-Zugang:	Volltext
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