A Test of the Cross‐Sectional Robustness of the Arbitrage Pricing Model Using Foreign Exchange Rates*
用汇率数据检验套利定价模型在不同随机样本和因子分析技术下的横截面稳健性，发现模型对样本和技术具有稳健性。
ABSTRACT This paper tests the cross‐sectional robustness of the arbitrage pricing theory (APT) model using foreign exchange rate data to determine if the model is robust with respect to the various random samples and various factor analytic techniques. Factor scores are developed using various samples and factor analytic techniques to explain the returns for other samples and groupings. The APT model is found to be robust across samples and techniques.