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    An intertemporal equilibrium beta pricing model

    Connor, Gregory and Korajczyk, Robert (1989) An intertemporal equilibrium beta pricing model. Review of Financial Studies, 2 (3). pp. 373-392. ISSN 0893-9454

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    This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory, (APT) and explores the econometric implications of this model under various restrictions on investor preferences and on the dynamic behaviour of dividends. We describe conditions under which the econometric technique typically used for estimating and testing the APT can be shown to be consistent with our economic model. We relate our intertemporal version of the APT to the static APT and to Merton's intertemporal capital asset pricing model.

    Item Type: Article
    Keywords: intertemporal equilibrium; beta pricing model;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 3535
    Depositing User: Gregory Connor
    Date Deposited: 14 Mar 2012 14:47
    Journal or Publication Title: Review of Financial Studies
    Publisher: Oxford University Press
    Refereed: Yes
    Use Licence: This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here

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