Article1988

An Empirical Test of the Arbitrage Pricing Theory on Australian Stock Returns 1974‐85

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

Abstract

Abstract: This paper examines empirically, issues concerning the Arbitrage Pricing Theory (APT). Firstly, in the spirit of Chamberlain and Rothschild [1983], the existence of an approximate factor structure is explored. Secondly, following Beggs [1986] and employing a principal components approach, a test of arbitrage pricing and the importance of the error of approximation, is conducted. Finally, using a non nested framework, the APT and CAPM are tested against each other. The results show mixed support for the APT having up to 3 priced factors.

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1976The arbitrage theory of capital asset pricing 1986Economic Forces and the Stock Market 1982Modern Portfolio Theory and Investment Analysis.1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1979Risk measurement when shares are subject to infrequent trading 1980An Empirical Investigation of the Arbitrage Pricing Theory 1983Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets 1982Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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