Do We Have to Know Betas? An Autoregressive Method for Testing the APT

Jianping Mei
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Jianping Mei: New York University, USA

Chapter 1 in New Methods for the Arbitrage Pricing Theory and the Present Value Model, 1994, pp 1-43 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionThe Example of a One-factor ModelTest of the Arbitrage Pricing TheoryEmpirical ResultsThe Robustness of the Methodology to Changes in BetaConclusionReferencesAppendix IAppendix II

Date: 1994
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