TY - JOUR
T1 - An Empirical Test of the Arbitrage Pricing Theory on Australian Stock Returns 1974‐85
AU - Faff, Robert W.
PY - 1988/11
Y1 - 1988/11
N2 - This paper examines empirically, issues concerning the Arbitrage Pricing Theory (APT). Firstly, in the spirit of Chamberlain and Rothschild [1983], the existence of an approximate factor structure is explored. Secondly, following Beggs [1986] and employing a principal components approach, a test of arbitrage pricing and the importance of the error of approximation, is conducted. Finally, using a non nested framework, the APT and CAPM are tested against each other. The results show mixed support for the APT having up to 3 priced factors.
AB - This paper examines empirically, issues concerning the Arbitrage Pricing Theory (APT). Firstly, in the spirit of Chamberlain and Rothschild [1983], the existence of an approximate factor structure is explored. Secondly, following Beggs [1986] and employing a principal components approach, a test of arbitrage pricing and the importance of the error of approximation, is conducted. Finally, using a non nested framework, the APT and CAPM are tested against each other. The results show mixed support for the APT having up to 3 priced factors.
UR - http://www.scopus.com/inward/record.url?scp=0010059897&partnerID=8YFLogxK
U2 - 10.1111/j.1467-629X.1988.tb00143.x
DO - 10.1111/j.1467-629X.1988.tb00143.x
M3 - Article
AN - SCOPUS:0010059897
SN - 0810-5391
VL - 28
SP - 23
EP - 43
JO - Accounting & Finance
JF - Accounting & Finance
IS - 2
ER -