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The Arbitrage Pricing Theory: Is It Testable?

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Author Info
 Shanken, Jay

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Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 37 (1982)
Issue (Month): 5 (December)
Pages: 1129-40
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Handle: RePEc:bla:jfinan:v:37:y:1982:i:5:p:1129-40

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  1. John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]
    Other versions:
  2. Enrique Sentana, 1993. "The econometrics of the stock market II: asset pricing," Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September. [Downloadable!]
  3. Octave JOKUNG & Jean-Christophe MEYFREDI, 2004. "Improving the Market Model: The 4-State Model Alternative," Finance 0403006, EconWPA. [Downloadable!]
  4. Salman Shah & Anjan V. Thakor, 2004. "Private versus Public Ownership: Investment, Ownership Distribution, and Optimality," Finance 0411026, EconWPA. [Downloadable!]
    Other versions:
  5. 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, EconWPA. [Downloadable!]
  6. Ross Levine, 1986. "An international arbitrage pricing model with PPP deviations," International Finance Discussion Papers 294, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  7. Michailidis, G., 2009. "Multivariate methods in examining macroeconomic variables effect on Greek stock market returns, 1997-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(1). [Downloadable!] (restricted)
  8. Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York. [Downloadable!]
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