Share Prices and Macroeconomic Factors
用澳大利亚1980-1994年月度行业股价指数检验了Chen、Roll和Ross提出的宏观经济因素套利定价理论，发现通胀率始终被定价，其他因素的重要性取决于样本期和估计方法，且APT模型优于CAPM。
The APT with macroeconomic factors put forward by Chen, Roll and Ross (1986) was tested using monthly Australian sectoral share‐price indexes for 1980–1994. The inflation rate was found to be consistently priced. The significance of other factors was found to depend on the choice of sample period and estimation method. The model was compared to both an APT with artificial factors and the CAPM. Both versions of the APT were found to clearly out‐perform the CAPM but neither version of the APT was clearly superior to the other in terms of both within‐ and out‐of‐sample explanatory power.