Yes, The APT Is Testable

PHILIP H. DYBVIG; STEPHEN A. ROSS

doi:10.1111/j.1540-6261.1985.tb02370.x

Yes, The APT Is Testable

PHILIP H. DYBVIG
, STEPHEN A. ROSS

Research output: Contribution to journal › Article › peer-review

76 Scopus citations

Abstract

The Arbitrage Pricing Theory (APT) has been proposed as an alternative to the mean‐variance Capital Asset Pricing Model (CAPM). This paper considers the testability of the APT and points out the irrelevance for testing of the approximation error. We refute Shanken's objections, including his assertion that Roll's critique of the CAPM is applicable to the APT. We also explain the testability of the APT on subsets, and we explore the relationship between the APT and the CAPM. 1985 The American Finance Association

Original language	English
Pages (from-to)	1173-1188
Number of pages	16
Journal	The Journal of Finance
Volume	40
Issue number	4
DOIs	https://doi.org/10.1111/j.1540-6261.1985.tb02370.x
State	Published - Sep 1985

Access to Document

10.1111/j.1540-6261.1985.tb02370.x

Cite this

@article{75931f258944487587d2c723baf7000e,

title = "Yes, The APT Is Testable",

abstract = "The Arbitrage Pricing Theory (APT) has been proposed as an alternative to the mean‐variance Capital Asset Pricing Model (CAPM). This paper considers the testability of the APT and points out the irrelevance for testing of the approximation error. We refute Shanken's objections, including his assertion that Roll's critique of the CAPM is applicable to the APT. We also explain the testability of the APT on subsets, and we explore the relationship between the APT and the CAPM. 1985 The American Finance Association",

author = "DYBVIG, \{PHILIP H.\} and ROSS, \{STEPHEN A.\}",

year = "1985",

month = sep,

doi = "10.1111/j.1540-6261.1985.tb02370.x",

language = "English",

volume = "40",

pages = "1173--1188",

journal = "The Journal of Finance",

issn = "0022-1082",

number = "4",

}

TY - JOUR

T1 - Yes, The APT Is Testable

AU - DYBVIG, PHILIP H.

AU - ROSS, STEPHEN A.

PY - 1985/9

Y1 - 1985/9

N2 - The Arbitrage Pricing Theory (APT) has been proposed as an alternative to the mean‐variance Capital Asset Pricing Model (CAPM). This paper considers the testability of the APT and points out the irrelevance for testing of the approximation error. We refute Shanken's objections, including his assertion that Roll's critique of the CAPM is applicable to the APT. We also explain the testability of the APT on subsets, and we explore the relationship between the APT and the CAPM. 1985 The American Finance Association

AB - The Arbitrage Pricing Theory (APT) has been proposed as an alternative to the mean‐variance Capital Asset Pricing Model (CAPM). This paper considers the testability of the APT and points out the irrelevance for testing of the approximation error. We refute Shanken's objections, including his assertion that Roll's critique of the CAPM is applicable to the APT. We also explain the testability of the APT on subsets, and we explore the relationship between the APT and the CAPM. 1985 The American Finance Association

UR - https://www.scopus.com/pages/publications/0001085863

U2 - 10.1111/j.1540-6261.1985.tb02370.x

DO - 10.1111/j.1540-6261.1985.tb02370.x

M3 - Article

AN - SCOPUS:0001085863

SN - 0022-1082

VL - 40

SP - 1173

EP - 1188

JO - The Journal of Finance

JF - The Journal of Finance

IS - 4

ER -

Yes, The APT Is Testable

Abstract

Access to Document

Other files and links

Fingerprint

Cite this