In this paper we estimate and test the restrictions implied by an equilibrium version of Ross’s arbitrage pricing theory (APT). We estimate the return factors using the asymptotic principal components technique first suggested by Chamberlain ar& Rothschild (1983) and extended by Concur and Korajczyk (1986). We test tie cross-sectional restrictions imposed by the APT with a variety of multivariate procedures. Section 2 describes the APT specification that we test. We use both the standard, s&atic version of the APT and an intertemporal version developed in Connor and Korajczyk (1987). In this second version there is one factor that has a unit beta for every security. The static version does not impose this unit-beta restriction.