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The Current State of the Arbitrage Pricing Theory

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Author Info
 Shanken, Jay

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Abstract

This paper provides a simple proof of a recent theorem presented by Haim Reisman (1992) concerning the use of proxies for the factors in the return-generating process of the arbitrage pricing theory. In the single-factor case, the theorem asserts that any variable correlated with the factor can serve as the benchmark in an approximate arbitrage pricing theory expected return relation. The significance of this result is considered and a new direction for empirical work on "arbitrage pricing" is outlined. Copyright 1992 by American Finance Association.

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

Volume (Year): 47 (1992)
Issue (Month): 4 (September)
Pages: 1569-74
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Handle: RePEc:bla:jfinan:v:47:y:1992:i:4:p:1569-74

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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. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  3. Shaun K. Roache & Matthew D. Merritt, 2006. "Currency Risk Premia in Global Stock Markets," IMF Working Papers 06/194, International Monetary Fund. [Downloadable!]
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This page was last updated on 2009-11-12.

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