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Arbitrage Pricing Theory and Multifactor Models

In: Essentials of Financial Economics

Author

Listed:
  • Michael Donadelli

    (University of Brescia)

  • Michele Costola

    (Ca’ Foscari University of Venice)

  • Ivan Gufler

    (Luiss Guido Carli)

Abstract

This chapter explores the anomalies in asset prices that challenge the foundational assumptions and predictions of the CAPM. The substantial body of research dedicated to uncovering, analyzing, and addressing these anomalies has grown significantly over time, making a comprehensive review both ambitious and intricate. Therefore, we focus on the seminal contributions that have profoundly influenced the field, emphasizing key findings from empirical studies on the CAPM and its various extensions.

Suggested Citation

  • Michael Donadelli & Michele Costola & Ivan Gufler, 2025. "Arbitrage Pricing Theory and Multifactor Models," Springer Texts in Business and Economics, in: Essentials of Financial Economics, chapter 6, pages 159-186, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-86189-5_6
    DOI: 10.1007/978-3-031-86189-5_6
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