Some Empirical Tests of the Theory of Arbitrage Pricing
用1963-78年的日收益率数据估计罗斯的套利定价理论参数，并与资本资产定价模型比较，发现APT表现良好，且预期收益取决于因子载荷，自身方差和公司规模无额外解释力。
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.