Some comments on the APT

Haim Reisman

Quantitative Finance, 2002, vol. 2, issue 5, 378-386

Abstract: The paper reviews some aspects of arbitrage pricing theory (APT). It derives an improved version of the model and examines it in view of the APT debate, adding some new observations in favour of the model. The topics examined include: (a) model testability; (b) implications of approximate APT pricing to Fama-Macbeth testing methodology; and (c) a comparison between APT pricing and approximate exact pricing.

Date: 2002
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DOI: 10.1088/1469-7688/2/5/307

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