Beenstock, Michael; Chan, Kam-Fai - In: Oxford Bulletin of Economics and Statistics 50 (1988) 1, pp. 27-39
Empirical tests of APT have relied on factor analysis to estimate the risk factors. Here the authors propose a diff erent two-stage iterative methodology that relates risk factors to ex plicit economic variables. In the first stage, portfolio returns are regressed over time against these...