336  12

 

1.   APT   :

Stephen A. Ross, The Arbitrage Theory of Capital Asset Pricing, Journal of Economic
Theory, 13, no. 3 (December 1976), pp. 341-360; Risk, Return, and Arbitrage, in Risk
and Return in France, Vol. I, ed. Irwin Friend and James L. Bicksler (Cambridge, MA:

Ballinger Publishing, 1977), Section 9.

2.    APT .    :

Gur Huberman, A Simple Approach to Arbitrage Pricing Theory, Journal of Economic
Theory, 28, no. 1 (October 1982), pp. 183-191.

3.      APT  -
   ,    .   
    .   
   (.  ,    7  8):

Nai-fu Chen and Jonathan E. Ingersoll, Jr., Exact Pricing in Linear Factor Models with
Finitely Many Assets: A Note, Journal of Finance, 38, no. 3 (June 1983), pp. 985-988.
Gary Chamberlain and Michael Rothschild, Arbitrage, Factor Structure, and Mean-
Variance Analysis on Large Asset Markets, Econometrica, 51, no. 5 (September 1983),
pp. 1281-1304.

Gary Chamberlain, Funds, Factors, and Diversification in Arbitrage Pricing Models,
Econometrica, 51, no. 5 (September 1983), pp. 1305-1323.
Philip H.Dybvig, An Explicit Bound on Individual Asset's Deviations from APT Pricing
in a Finite Economy, Journal of Financial Economics, 12, no. 4 (December 1983),
pp. 483-496.

Mark Grinblatt and Sheridan Titman, Factor Pricing in a Finite Economy, Journal of
Financial Economics, 12, no. 4 (December 1983), pp. 497507.
Gregory Connor, A Unified Beta Pricing Theory, Journal of Economic Theory, 34, no. 1
(October 1984), pp. 13-31.

4.   APT    :

Richard W. Roll and Stephen A. Ross, Regulation, the Capital Asset Pricing Model, and the
Arbitrage Pricing Theory, Public Utilities Fortnightly, 111, no. 11 (May 26, 1983), pp. 22-28.
Richard W. Roll and Stephen A. Ross, The Arbitrage Pricing Theory Approach to Strategic
Portfolio Planning, Financial Analysts Jounal, 40, no. 3 (MayJune 1984), pp. 1426.
Dorothy H. Bower, Richard S. Bower, and Dennis E. Logue, A Primer on Arbitrage
Pricing Theory, Midland Corporate Finance Journal, 2, no. 3 (Fall 1984), pp. 3140.

5.         
:

Richard W. Roll and Stephen A. Ross, An Empirical Investigation of the Arbitrage Pricing

Theory, Journal of Finance, 35, no. 5 (December 1980), pp. 1073-1103.

Stephen J. Brown and Mark I. Weinstein, A New Approach to Testing Asset Pricing Models:

The Bilinear Paradigm, Journal of Finance, 38, no. 3 (June 1983), pp. 711-743.
Phoebus J. Dhrymes, Irwin Friend, and N. Bulent Gultekin, A Critical Reexamination of
the Empirical Evidence on the Arbitrage Pricing Theory, Journal of Finance, 39, no. 2
(June 1987), pp. 323-346.