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A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply

Roll, Richard and Ross, Stephen A. (1984) A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply. Journal of Finance, 39 (2). pp. 347-350. ISSN 0022-1082. https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912058

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Abstract

The paper by Dhrymes, Friend, and Gultekin (DFG) in this issie criticizes empirical work on the the Arbitrage Pricing Theory (APT) conducted by ourselves, (RR [3]), and by a number of others. We are honored that such eminent professors as DFG have taken an interest in our work. Unfortunately, the DFG paper contains analysis which might foster misconceptions in the casual reader. Our purpose here is to present a brief, nontechnical comment. We are confident that those who are inclined to study the DFG paper in detail will be able to discern its merit for themselves.


Item Type:Article
Related URLs:
URLURL TypeDescription
https://doi.org/10.1111/j.1540-6261.1984.tb02313.xDOIArticle
Additional Information:© 1984 the American Finance Association.
Issue or Number:2
Record Number:CaltechAUTHORS:20190426-145912058
Persistent URL:https://resolver.caltech.edu/CaltechAUTHORS:20190426-145912058
Official Citation:ROLL, R. and ROSS, S. A. (1984), A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory: A Reply. The Journal of Finance, 39: 347-350. doi:10.1111/j.1540-6261.1984.tb02313.x
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:95054
Collection:CaltechAUTHORS
Deposited By: George Porter
Deposited On:26 Apr 2019 22:26
Last Modified:03 Oct 2019 21:09

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