【文件属性】：
文件名称：an empirical investigation of the arbitrage pricing theory.pdf
文件大小：864KB
文件格式：PDF
更新时间：2020-09-06 08:25:07
APTmodel
Empirical tests are reported for Ross'[48] arbitrage theory of asset pricing. Using data for
individual equities during the 1962–72 period, at least three and probably four priced factors
are found in the generating process of returns. The theory is supported in that estimated expected returns