The Arbitrage Pricing Theory: Is it Testable?
质疑套利定价理论（APT）比资本资产定价模型（CAPM）更易实证检验的观点，指出APT通常的检验公式排除了其试图解释的预期收益差异，而一种竞争均衡扩展在原则上可检验，但需观察真实市场组合的收益。
ABSTRACT This paper challenges the view that the Arbitrage Pricing Theory (APT) is inherently more susceptible to empirical verification than the Capital Asset Pricing Model (CAPM). The usual formulation of the testable implications of the APT is shown to be inadequate, as it precludes the very expected return differentials which the theory attempts to explain. A recent competitive‐equilibrium extension of the APT may be testable in principle. In order to implement such a test, however, observation of the return on the true market portfolio appears to be necessary.