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| Author: | Parhizgari, A. M. Dandapani, K. Prakash, A. J. |
| Title: | Arbitrage pricing theory and the investment horizon. |
| Journal: | Journal of Business Finance and Accounting
1993 : JAN, VOL. 20:1, p. 27-40 |
| Index terms: | ARBITRAGE PRICE THEORY PORTFOLIO INVESTMENT |
| Language: | eng |
| Abstract: | Prior research on the investment horizon is extended to the Arbitrage Pricing Theory (APT). It is shown that, under special assumptions, the estimates obtained for the multi- index return generating process and the APT are interval dependent. Based on a sample of defensive, neutral and aggressive portfolios drawn from CRSP tapes, the results are tested using J-statistics. Authors also develop a theoretical relationship between the "true" holding period and the "empirical" holding period under APT. The effect of the investment horizon on APT is also examined. |
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