Yli-Olli, Paavo; Virtanen, Ilkka - In: Empirical Economics 17 (1992) 4, pp. 507-22
The purpose of this paper is to test the Arbitrage Pricing Theory (APT) using monthly data for Finnish stock returns during the 1970-86 period. The first stage involves estimating the systematic risks for each asset using factor analysis. The second stage involves testing by transformation...