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On the Robustness of the Roll and Ross Arbitrage Pricing Theory

Published online by Cambridge University Press:  06 April 2009

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

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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 19 , Issue 1 , March 1984 , pp. 1 - 10
Copyright
Copyright © School of Business Administration, University of Washington 1984

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References

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