Article1985

New Tests of the APT and Their Implications

Phoebus J. Dhrymes · Irwin Friend · Mustafa N. Gultekin · N. BULENT GULTEKIN

80 citations0/0 files storedThe Journal of Finance

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

ABSTRACT This paper provides new tests of the arbitrage pricing theory (APT). Test results appear to be extremely sensitive to the number of securities used in the two stages of the tests of the APT model. New tests also indicate that unique risk is fully as important as common risk. While these tests have serious limitations, they are inconsistent with the APT.

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References

1980An Empirical Investigation of the Arbitrage Pricing Theory 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory 1984A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply

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1987Stock Return Anomalies and the Tests of the APT 1998Risk factors in the Malaysian stock market 1987The Seasonal Stability of the Factor Structure of Stock Returns

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