Some Empirical Tests of the Theory of Arbitrage Pricing
用1963-78年美国日度股票收益数据检验罗斯的套利定价理论，发现其表现优于市场指数代表的资本资产定价模型，且预期收益主要由因子载荷解释，自身方差和公司规模无额外解释力。
ABSTRACT We estimate the parameters of Ross's Arbitrage Pricing Theory (APT). Using daily return data during the 1963–78 period, we compare the evidence on the APT and the Capital Asset Pricing Model (CAPM) as implemented by market indices and find that the APT performs well. The theory is further supported in that estimated expected returns depend on estimated factor loadings, and variables such as own variance and firm size do not contribute additional explanatory power to that of the factor loadings.