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Arbitrage Pricing Theory and Intertemporal Capital Asset Pricing Model

Cheng Few Lee, Joseph Finnerty, John Lee, Alice C Lee, Donald Wort

Abstract

AbstractThe following sections are included:Multi-Index ModelsModel Specification of APTRoss's Arbitrage Model SpecificationEmpirical Test MethodologyAPT: Empirical Results and ImplicationsIdentifying the Model FactorsAPT Versus MPT and the CAPMIntertemporal CAPMApplications of APTSummaryQuestions and ProblemsAppendix 13A: Alternative Specifications of APTAppendix 13B: Lee and Wei's Empirical ResultsBibliography

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Available abstract

Key concepts: Arbitrage pricing theory, Capital asset pricing model, Investment theory, Consumption-based capital asset pricing model, Economics, Arbitrage, Financial economics, Rational pricing