On the Robustness of the Roll and Ross Arbitrage Pricing Theory

D. Chinhyung Cho, Edwin J. Elton and Martin J. Gruber

Journal of Financial and Quantitative Analysis, 1984, vol. 19, issue 1, 1-10

Abstract: Roll and Ross [6] have written what has quickly become the classic article on testing the Arbitrage Pricing Theory (APT) originally proposed by Ross [8]. They presented methods both for estimating the return generating process and for testing whether particular elements (factors) in the return generating process were priced in equilibrium. They found that more factors are priced than one would expect to be priced if the Capital Asset Pricing Model (CAPM) were held.

Date: 1984
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