                                337

Richard W. Roll and Stephen A. Ross, A Critical Reexamination of the Empirical Evidence

of the Arbitrage Pricing Theory: A Reply, Journal of Finance, 39, no. 2 (June 1984),

pp. 347-350.

Charles Trzcinka, On the Number of Factors in the Arbitrage Pricing Model, Journal of

Finance, 41, no. 2 (June 1986), pp. 347-368.

Dolores A. Conway and Marc R. Reinganum, Stable Factors in Security Returns:

Identification Using Cross Validation, Journal of Business and Economic Statistics, 6, no. 1
(January 1988), pp. 1-15.

Bmce N. Lehmann and David M. Modest, The Empirical Foundations of the Arbitrage Pricing
Theory, Journal of Financial Economics, 21, no. 2 (September 1988), pp. 213254.

Gregory Connor and Robert A. Korajczyk, Risk and Return in an Equilibrium APT:

Application of a New Test Methodology, Journal of Financial Economics, 21, no. 2
(September 1988), pp. 255-289.

Stephen J. Brown, The Number of Factors in Security Returns, Journal of Finance, 44,
no. 5 (December 1989), pp. 1247-1262.

Eugene F. Fama and Kenneth R. French, Common Risk Factors in the Returns on Stocks
and Bonds, Journal of Financial Economics, 33, no. 1 (February 1993), pp. 3-56.

Gregory Connor and Robert A. Korajczyk, A Test for the Number of Factors in an Approximate
Factor Model, Journal of Finance, 48, no. 4 (September 1993), pp. 12631291.

6.       .  , 
   ,  :

Tony Estep, Nick Hansen, and Cal Johnson, Sources of Value and Risk in Common
Stocks, Journal of Portfolio Management, 9, no. 4 (Summer 1983), pp. 5-13.

Nai-fu Chen, Richard W. Roll, and Stephen A. Ross, Economic Forces and the Stock
Market, Journal of Business, 59, no. 3 (July 1986), pp. 383-403.

Marjorie B. McElroy and Edwin Burmeister, Arbitrage Pricing Theory as a Restricted
Nonlinear Multivariate Regression Model, Journal of Business and Economic Statistics, 6,
no. 1 (January 1988), pp. 29-42.

Michael A. Berry, Edwin Burmeister, and Marjorie B. McElroy, Sorting Out Risks Usin Known
APT Factors, Financial Analysts Journal, 44, no. 2 (March-April 1988), pp. 29-42.

7.    ,     -
 , ,     :

Jay Shanken, The Arbitrage Pricing Theory: Is It Testable?, Journal of Finance, 37, no. 5

(December 1982), pp. 1129-1140.

Christian Gilles and Stephen F. LeRoy, On the Arbitrage Pricing Theory, Economic

Theory, 1, no. 3 (1991), pp. 213-229.

Jay Shanken, The Current State of Arbitrage Pricing Theory, Journal of Finance, 47,

no. 4 (September 1992), pp. 1569-1574.

8.   APT     :

William F. Sharpe, Factor Models, CAPMs, and the (), Journal of Portfolio
Management, 11, no. 1 (Fall 1984), pp. 21-25.

Jay Shanken, Multi-Beta CAPM or Equilibrium-APT?: A Reply, Journal of Finance, 40,
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K.C. John Wei, An Asset-Pricing Theory Unifying the CAPM and APT, Journal of
Finance, 43, no. 4 (September 1988), pp. 881-892.