Arbitrage Pricing Theory and Utility Stock Returns
比较了套利定价理论和资本资产定价模型在估计公用事业股票预期收益上的表现，发现APT的多因子模型能提供更准确的风险衡量和收益估计，建议监管者采用APT而非CAPM。
ABSTRACT This paper presents some new evidence that Arbitrage Pricing Theory may lead to different and better estimates of expected return than the Capital Asset Pricing Model, particularly in the case of utility stock returns. Results for monthly portfolio returns for 1971–1979 lead to the conclusion that regulators should not adopt the single‐factor risk approach of the CAPM as the principal measure of risk, but give greater weight to APT, whose multiple factors provide a better indication of asset risk and a better estimate of expected return.