Elsevier < Decision Sciences Publications < Handbooks in Operations Research and Management Science < Volume 9: Finance < Chapter 4

FINANCE
Edited by R.A. Jarrow, V. Maksimovic and W.T. Ziemba

CHAPTER 4
The Arbitrage Pricing Theory and Multifactor Models of Asset Returns
G. Connor and R.A. Korajczyk

1. Introduction*  

2. Strict and approximate factor models

3. Derivation of the pricing restriction

4. Empirical analysis of the APT

5. Other empirical topics

6. Applications

7. Conclusions

Acknowledgements

References

* The first two pages of the chapters are available as PDF file.

 Complete chapters on ScienceDirect

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