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A Multivariate Linear Regression Test for the Arbitrage Pricing Theory

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  • Jobson, John D

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  • Jobson, John D, 1982. "A Multivariate Linear Regression Test for the Arbitrage Pricing Theory," Journal of Finance, American Finance Association, vol. 37(4), pages 1037-1042, September.
    • Handle: RePEc:bla:jfinan:v:37:y:1982:i:4:p:1037-42
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    Cited by:

    1. Attiya Yasmeen Javid, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE Research Report 2000:3, Pakistan Institute of Development Economics.
    2. Pin-Huang Chou, 1996. "Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio," Finance 9609002, University Library of Munich, Germany.
    3. Kenneth Stewart, 1997. "Exact testing in multivariate regression," Econometric Reviews, Taylor & Francis Journals, vol. 16(3), pages 321-352.
    4. Attiya Y. Javed, 2000. "Alternative Capital Asset Pricing Models: A Review of Theory and Evidence," PIDE-Working Papers 2000:179, Pakistan Institute of Development Economics.
    5. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
    6. Erdinc Altay, 2003. "The Effect of Macroeconomic Factors on Asset Returns: A Comparative Analysis of the German and the Turkish Stock Markets in an APT Framework," Finance 0307006, University Library of Munich, Germany.
    7. Chen, Kim Heng & Jandhyala, Venkata K. & Fotopoulos, Stergios B., 2005. "Nonlinear Properties of Multifactor Financial Models," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 1(2), pages 1-27.
    8. Moon K. Kim & Chunchi Wu, 1987. "Macro-Economic Factors And Stock Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(2), pages 87-98, June.
    9. Fotopoulos, Stergios B. & Jandhyala, Venkata K. & Chen, Kim-Heng, 2007. "Non-linear properties of conditional returns under scale mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 51(6), pages 3041-3056, March.

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