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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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Abstract
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 |
| Related URLs: | |
| URI: | https://mural.maynoothuniversity.ie/id/eprint/3535 |
| 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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