An Intertemporal Equilibrium Beta Pricing Model

• 成果类型: Article
• 署名作者: Connor, Gregory; Korajczyk, Robert A.
• 署名单位: University of California System; University of California Berkeley; Northwestern University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/2.3.373
• 发表日期: 1989
• 页码: 373
• 关键词: arbitrage; STOCK; returns; prices; tests; RISK; APT

摘要

This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory (APT) and explores the econometric implications of this model under various restrictions on investor preferences and on the dynamic behaviour of dividends. We describe conditions under which the econometric techniques typically used for estimating and testing the APT can be shown to be consistent with our economic model. We relate our intertemporal version of the APT to the static APT and to Merton's intertemporal capital asset pricing model.