n Investment Analysts Journal - Investment basics XXXIV : the arbitrage pricing theory

Volume 1997, Issue 46
  • ISSN : 1029-3523
  • E-ISSN: 2077-0227
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Extracted from text ... Number 46 - Part 5 P van Rensburg Investment Basics: XXXIV The arbitrage pricing theory Introduction The APT was developed by Stephen Ross in the early 70s and first published in 'The Arbitrage Theory of Capital Asset Pricing' (1976). The APT is based on fewer and less restrictive assumptions than the more familiar capital asset pricing model (CAPM) of Sharpe (1964), Lintner (1965) and Mossin (1966). It is also a more general model than the CAPM allowing for more than one risk factor to underlie stock returns. However, the primary challenge in applying the APT is discerning the identity of ..

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