An Empirical Investigation of the Arbitrage Pricing Theory, Journal of Finance, by Roll, R. And Ross, S. A. (1980),

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The study focuses on the arbitrage pricing theory of asset. The arbitrage pricing theory (APT) formulated   by Ross offers a testable alternative to the well-known capital asset pricing model (CAPM) introduced by Sharpe,Lintner and Mossin. Although the CAPM has been predominant  in empirical work over the past fifteen years and is the basis of modern portfolio theory.
To the contrary, elegant derivations of the CAPM equation have been concocted beginning from the first principles of utility theory; but the model's popularity   is not due to such analyses, for they make all too obvious the assumptions required for the CAPM's validity and make no use of the common variability of returns. The APT is a particularly appropriate alternative   because it agrees perfectly with what appears to be the intuition behind the CAPM.  Indeed,   the APT is based on a linear return generating process as a first principle, and requires no utility assumptions beyond monotonicity and concavity. Nor is it restricted   to a single period; it will hold in both the multi-period and single period cases.  There are two major differences between the APT and the original Sharpe "diagonal"    model, a single factor generating model which they believe is the intuitive grey eminence   behind the CAPM. First, and most simply, the APT allows more than just one generating factor. Second, the APT demonstrates that since any market equilibrium must be consistent   with no arbitrage profits, every equilibrium will be characterized by a linear relationship   between each asset's expected return and its return's response amplitudes, or loadings, on the common factors. With  minor  caveats, given  the  factor generating   model,  the  absence  of riskless  arbitrage profits-an easy enough condition  to accept   a  priori-leads immediately   to  the  APT. Its  modest  assumptions  and  its pleasing implications surely  render  the  APT  worthy  of being the  object  of empirical  testing.   The objective of the research is to use the APT framework to investigate both the existence and the pricing questions. Which includes to determine, that a more complete discussion of the unique testable features of the APT is provided. Then section II gives our basic tests. It concludes that  three  factors  are  definitely  present  in the  "prices"  (actually  in the  expected returns)   of equities  traded  on the  New York and  American  Exchanges. However the fourth factor may be present also but the evidence there is less conclusive. 

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