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| Author: | Lee, C. F. Wei, J. Bubnys, E. |
| Title: | The APT versus the multi-factor CAPM: empirical evidence |
| Journal: | Quarterly Journal of Economics
1989 : WINT, VOL. 29:4, p.6-25 |
| Index terms: | MODELS FINANCIAL MODELS |
| Language: | eng |
| Abstract: | The paper compares the five-factor Arbitrary Pricing Theory (APT) with the Capital Asset Pricing Model (CAPM) to determine if the market portfolio is an important addition to five pervasive factors. The issue of size effect is also analyzed. Using statistical methods it is shown that the five-factor APT is not rejected, that the market portfolio is not an important addition and there is no size or January effect. |
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