Government Bond Returns, Measurement of Interest Rate Risk, and the Arbitrage Pricing Theory
用1960-1979年美国国债月度数据检验套利定价理论，发现债券组合平均回报与至少两个因子载荷线性相关，但多变量检验结果不支持APT，也不支持CAPM。
Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during the 1960–1979 period. We find that mean returns on bond portfolios are linearly related to at least two factor loadings. Multivariate test results, however, are not consistent with the APT. Our sample data in the U.S. Treasury securities market are also not consistent with either version of the CAPM. One-month-ahead forecasts of excess returns using factor-generating models are compared with corresponding naive predictions or predictions using the "market model" with various market portfolios.