Gultekin, Bulent N.; Rogalski, Richard - Rodney L. White Center for Financial Research, Wharton …
Empirical tests are reported for Ross' arbitrage pricing theory using monthly data for U.S. Treasury securities during the 1960-1979 period. We find that mean returns on bond portfolios are linearly related to at least two factor loadings. Multivariate test results, however, are not consistent...