Papers on APT and Multifactor Models
Here are some papers related to the APT and Multifactor models: The list is not exhaustive.
Last modified: September 26, 2019.
Abeysekera, Sarath P. and Arvind Mahajan, "A Tests of the APT in Pricing UK Stocks." Journal of Business Finance & Accounting 14 (Autumn 1987): 377-391.
Adamek, Petr, "Approximate Factor Structure: A Test for Number of Factors." Working paper, Massachusetts Institute of Technology, March 1994.
Admati, Anat R., Sudipto Bhattacharya, Paul Pfleiderer, and Stephen A. Ross, "On Timing and Selectivity." Journal of Finance 41 (1986): 715-730.
Admati, Anat R. and Paul Pfleiderer, "Interpreting the Factor Risk Premia in the Arbitrage Pricing Theory." Journal of Economic Theory 35 (1985): 191-195.
Ahmadi, Hamid, "Testability of the Arbitrage Pricing Theory by Neural Networks." In Robert R. Trippi and Efraim Turban (eds.) Neural Networks in Finance and Investment. Chicago: Probus Publishing, 1993.
Al-Najjar, Nabil I., “Factor Structures and Arbitrage Pricing in Large Asset Markets.” Working paper, MEDS, Northwestern University, October 1995.
Antoniou, Antonios, Ian Garrett, and Richard Priestley, “Macroeconomic Variables as Common Pervasive Risk Factors and the Empirical Content of the Arbitrage Pricing Theory.” Journal of Empirical Finance 5 (September 1998):221-240.
Bai, Junshan, “Inferential Theory for Factor Models of Large Dimension.” Econometrica 71 (January 2003): 135-171.
Bai, Junshan, and Serena Ng, “Determining the Number of Factors in Approximate Factor Models.” Econometrica 70 (January 2002): 191-221.
Bai, Junshan, and Serena Ng,. “Large Dimensional Factor Analysis” Foundations and Trends in Econometrics 3 (2008): 89-163.
Bai, Junshan, and Peng Wang, “Identification Theory for High Dimensional Static and Dynamic Factor Models.” Journal of Econometrics 178 (2014): 794-804.
Bansal, Ravi, and S. Viswanathan, "No Arbitrage and Arbitrage Pricing: A New Approach." Journal of Finance 48 (September 1993): 1231-1262.
Bansal, Ravi, David A. Hsieh, and S. Viswanathan, "A New Approach to International Arbitrage Pricing." Journal of Finance 48 (December 1993): 1719-1747.
Beckers, Stan, Gregory Connor, and Ross Curds, “National versus Global Influences on Equity Returns.” Financial Analysts Journal 52 (March/April 1996): 31-39.
Beenstock, Michael and Kam-Fai Chan, "Testing The Arbitrage Pricing Theory in the United Kingdom." Oxford Bulletin of Economics & Statistics 48 (1986): 121-141.
Bekker, Paul, Pascal Dobbelstein, and Tom Wansbeek, "The APT Model as Reduced Rank Regression." Working paper, University of Groningen, April 1993.
Bekker, Paul, Pascal Dobbelstein, and Tom Wansbeek, "The APT Model as Reduced Rank Regression." Journal of Business & Economic Statistics 14 (April 1996): 199-202.
Berges-Lobera, Angel, "An Empirical Study on International Asset Pricing Models and Capital Market Integration." Working paper, Universidad Autonoma de Madrid.
Berry, Mike, Ed Burmeister, and Marjorie McElroy, "A Practical Perspective on Evaluating Mutual Fund Risk." Investment Management Review 2 (March/April 1988a): 78-86.
Berry, Michael A., Edwin Burmeister, and Marjorie B. McElroy, "Sorting Out Risks Using Known APT Factors." Financial Analysts Journal 44 (March/April 1988b): 29-42.
Blin, J.M, S. Bender, and J. B. Guerard, Jr., "Earnings Forecasts, Revisions and Momentum in the Estimation of Efficient Market-Neutral Japanese and U.S. Portfolios." In A. Chen (ed.), Research in Finance. JAI Press, 1997.
Blin, John, and George Douglas, "Stock Returns vs. Factors." Investment Management Review (November/December 1987): 36-46.
Blin, John, and Stephen Bender, "Arbitrage and the Structure of Risk: A Mathematical Analysis." Working paper, APT, Inc., 1995.
Bodurtha, James N. Jr., "International Factors and U.S. Equity Excess Returns." Working paper, University of Michigan, August 1994.
Bodurtha, James N. Jr., D. Chinhyung Cho, and Lemma W. Senbet, "Economic Forces and the Stock Market: An International Perspective." Global Finance Journal 1 (Fall 1989): 21-46.
Boivin, Jean, and Serena Ng, “Are More Data Always Better for Factor Analysis?” Working paper, Johns Hopkins University, 2002.
Bossaerts, Peter and Richard C. Green, "A General Equilibrium Model of Changing Risk Premia: Theory and Tests." Review of Financial Studies 2 (1989): 467-493.
Bossaerts, Peter and Pierre Hillion, "Testing Mean-Variance Efficiency of Well-Diversified Portfolios in Very Large Cross-Sections." Working paper, California Institute of Technology, April 1993.
Bower, Dorothy H., Richard S. Bower, and Dennis E. Logue, "Arbitrage Pricing Theory and Utility Stock Returns." Journal of Finance 39 (September 1984a): 1041-1054.
Bower, Dorothy H., Richard S. Bower, and Dennis E. Logue, "A Primer on Arbitrage Pricing Theory." Midland Corporate Finance Journal 2 (Fall 1984b): 31-40.
Bower, Dorothy H., Richard S. Bower, and Dennis E. Logue, "Equity Screening Rates Using Arbitrage Pricing Theory." Advances in Financial Planning and Forecasting 1 (1985): 29-47.
Bray, Margaret, "The Arbitrage Pricing Theory is not Robust 1: Variance Matrices and Portfolio Theory in Pictures." Discussion Paper #178, Financial Markets Group, London School of Economics, January 1994.
Bray, Margaret, "The Arbitrage Pricing Theory is not Robust 2: Factor Structures and Factor Pricing." Discussion Paper #179, Financial Markets Group, London School of Economics, January 1994.
Breen, Richard and Gregory Connor, "The Relationship Between Non-Arbitrage and Recursive Competitive Equilibrium Pricing." Working paper #196, University of California at Berkeley, June 1990.
Brennan, M. J., "Capital Asset Pricing and the Structure of Security Returns." Working paper, University of British Columbia, May 1971.
Brennan, M. J., "Discussion." Journal of Finance 36 (May 1981): 352-353.
Brennan, Michael J., Tarun Chordia, and Avanidhar Subrahmanyam, "Cross-Sectional Determinants of Expected Returns." The Legacy of Fischer Black, edited by Bruce N. Lehmann, Oxford: Oxford University Press, 2005.
Brennan, Michael J., Tarun Chordia, and Avanidhar Subrahmanyam, "Alternative Factor Specifications, Security Characteristics, and the Cross-Section of Expected Stock Returns." Journal of Financial Economics 49 (September 1998): 345-373.
Brock, William A., "Asset Prices in a Production Economy." In The Economics of Information and Uncertainty, edited by J. J. McCall. Chicago: The University of Chicago Press, 1982.
Brown, Stephen J., "Discussion." Journal of Finance 43 (July 1988): 734-735.
Brown, Stephen J., "The Number of Factors in Security Returns." Journal of Finance 44 (December 1989): 1247-1262.
Brown, Stephen J., "Nonlinear Systems Estimation: Asset Pricing Model Applications." In H. Varian (ed.) Economic and Financial Modeling with Mathematica. New York: Springer Verlag, 1993.
Brown, Stephen J. William N. Goetzmann, and Mark Grinblatt, "Positive Portfolio Factors." Working paper, New York University, January 1997.
Brown, Stephen J. and Toshiyuki Otsuki, "Macroeconomic Factors and the Japanese Equity Markets: The CAPMD Project." In Edwin J. Elton and Martin J. Gruber (eds.) Japanese Capital Markets. New York: Harper & Row, 1990.
Brown, Stephen J. and Toshiyuki Otsuki, "Exchange Rate Volatility and Equity Returns." Working paper, New York University, April 1992.
Brown, Stephen J. and Toshiyuki Otsuki, "Risk Premia in Pacific-Basin Capital Markets." Pacific-Basin Finance Journal 1 (September 1993): 235-261.
Brown, Stephen J. and Mark I. Weinstein, "A New Approach to Testing Asset Pricing Models: The Bilinear Paradigm." Journal of Finance 38 (June 1983): 711-743.
Brown, Stephen J. and Mark I. Weinstein, "Derived Factors in Event Studies." Journal of Financial Economics 14 (September 1985): 491-495.
Burmeister, Edwin, Cheng F. Lee, and K. C. John Wei, "The Arbitrage Pricing Theory: Review and Extension." Working paper, Duke University, undated.
Burmeister, Edwin and Marjorie B. McElroy, "Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory." Journal of Finance 43 (July 1988): 721-733.
Burmeister, Edwin, Richard Roll, and Stephen A. Ross, "A Practitioner’s Guide to Arbitrage Pricing Theory" In A Practitioner’s Guide to Factor Models, Charlottesville: The Research Foundation of the Institute of Chartered Financial Analysts, 1994.
Burmeister, Edwin, Richard Roll, and Stephen A. Ross, "Using Macroeconomic Factors to Control Portfolio Risk" Working paper, BIRR Portfolio Analysis, Inc.
Burmeister, Edwin and Kent D. Wall, "The Arbitrage Pricing Theory and Macroeconomic Factor Measures." The Financial Review 21 (February 1986): 1-20.
Butery, A., "Modele Lineaire a Plusieurs Facteurs Explicatifs de la Rentabilite d'Actions a la Bourse de Paris." Working paper, Universite de Paris, December 1982.
Campbell, John Y. and Yasushi Hamao, "Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration." Journal of Finance 47 (March 1992): 43-69.
Chamberlain, Gary, "Funds, Factors and Diversification in Arbitrage Pricing Models." Econometrica 51 (September 1983): 1305-1323.
Chamberlain, Gary, "Asset Pricing in Multiperiod Securities Markets." Econometrica 51 (November 1988): 1283-1300.
Chamberlain, Gary and Michael Rothschild, "Arbitrage, Factor Structure, and Mean Variance Analysis on Large Asset Markets." Econometrica 51 (September 1983): 1281-1304.
Chan, K. C., Nai-fu Chen, and David Hsieh, "An Exploratory Investigation of the Firm Size Effect." Journal of Financial Economics 14 (September 1985): 451-471.
Chan, K. C., Patric H. Hendershott, and Anthony B. Sanders, “Risk and Return on Real Estate: Evidence from Equity REITs.” Real Estate Economics 18 (December 1990), 431-452.
Chan, K. C., and René M. Stulz, "Risk and the Economy: A Finance Perspective." In Courtenay C. Stone (ed.) Financial Risk: Theory, Evidence and Implications. Boston: Kluwer Academic Publishers.
Chan, Kam-Fai, and Michael Beenstock, "Testing The Arbitrage Pricing Theory in the U.K. 1961-1982." In Proceedings of the 11th Annual Meeting of the European Finance Association, Manchester: September 1984.
Chan, Louis K.C., Jason Karceski, and Josef Lakonishok, “The Risk and Return from Factors.” Journal of Financial and Quantitative Analysis 33 (June 1998): 159-188.
Chang, Eric C. and Wilbur G. Lewellen, "An Arbitrage Pricing Approach to Evaluating Mutual Fund Perfomance." Journal of Financial Research 8 (Spring 1985): 15-30.
Chaumeton, Lucie, Gregory Connor, and Ross Curds, “A Global Stock and Bond Model.” Working paper, BARRA International, November 1995.
Chen, Andrew H., Marcia Millon Cornett, and Prafulla G. Nabar, "Arbitrage Pricing Theory and the Behavior of Futures Prices." Working paper, Southern Methodist University, August 1991.
Chen, Liang, Juan J. Dolado, Jesús Gonzalo, Detecting big structural breaks in large factor models." Journal of Econometrics 180 (2014): 30-48.
Chen, Nai-fu, "Some Empirical Tests of the Theory of Arbitrage Pricing." Journal of Finance 38 (December 1983): 1393-1414.
Chen, Nai-fu, Thomas E. Copeland, and David Mayers, "A Comparison of Single and Multifactor Portfolio Performance Methodologies." Journal of Financial and Quantitive Analysis 22 (December 1987): 401-417.
Chen, Nai-fu and Jonathan E. Ingersoll, Jr., "Exact Pricing in Linear Factor Models with Finitely Many Assets: A Note." Journal of Finance 38 (June 1983): 985-988.
Chen, Nai-fu, Richard Roll, and Stephen A. Ross, "Economic Forces and the Stock Market." Journal of Business 59 (July 1986): 383-403.
Chen, Su-Jane, Cheng-Ho Hsieh, and Bradford Jordan, “Real Estate and the Arbitrage Pricing Theory: Macrovariables vs. Derived Factors.” AREUEA Journal of Real Estate Economics 25 (1997): 505 - 523.
Chen, S.J., and B. D. Jordan, "Some Empirical Tests of the APT: Macro-Variables versus Derived Factors." Journal of Banking and Finance 17 (July 1993): 65-90.
Chen, Zhiwu, and Peter J. Knez, "A General Measurement Framework of Arbitrage and Market Integration." Working paper, University of Wisconsin, November 1991.
Chen, Zhiwu, and Peter J. Knez, "Mutual Fund Performance: A Nonparametric Based Empirical Investigation." Working paper, University of Wisconsin, July 1992.
Chen, Zhiwu, and Peter J. Knez, "A Nonparametric Valuation Approach to Performance Measurement." Working paper, University of Wisconsin, August 1992.
Chen, Zhiwu, and Peter J. Knez, "A Pricing Operator-Based Testing Foundation for a Class of Factor Pricing Models." Mathematical Finance 4 (April 1994): 121-141.
Chen, Zhuo, Gregory Connor, and Robert A. Korajczyk, "Small-sample Properties of Factor Mimicking Portfolio Estimates." Working paper, Northwestern University, February 2015.
Cho, D. Chinhyung, "On Testing the Arbitrage Pricing Theory: Inter-Battery Factor Analysis." Journal of Finance 39 (December 1984): 1485-1502.
Cho, D. Chinhyung, Edwin J. Elton, and Martin J. Gruber, "On the Robustness of the Roll and Ross Arbitrage Pricing Theory." Journal of Financial Quantitative Analysis 19 (March 1984): 1-10.
Cho, D. Chinhyung, Cheol S. Eun, and Lemma W. Senbet, "International Arbitrage Pricing Theory: An Empirical Investigation." Journal of Finance 41 (June 1986): 313-329.
Cho, D. Chinhyung, and Simon J. Pak, "Multifactor Pricing Model with Macroeconomic Variables." Advances in Investment Analysis and Portfolio Management 1 (1991).
Cho, D. Chinhyung and William M. Taylor, "The Seasonal Stability of the Factor Structure of Stock Returns." Journal of Finance 42 (December 1987): 1195-1211.
Christensen, Bent Jesper, "The Likelihood Ratio Tests of the APT with Unobservable Factors Against the Unrestricted Factor Model." Working paper, New York University, November 1992.
Christensen, Bent Jesper, "Efficiency Gains in Beta-Pricing Models." Mathematical Finance 4 (April 1994): 143-154.
Christoffersen, Peter, Eric Ghysels, and Norman R. Swanson, "Let’s Get ‘Real’ about Using Economic Data" Journal of Empirical Finance 9 (2002): 343-360.
Christophe, Stephen E., Robert A. Connolly, and John J. Pringle, "Is There a Real Exchange Rate Risk Premium in U.S. Equity Returns?" Working paper, University of North Carolina, September 1991.
Clyman, Dana R., Michael E. Edelson, and Randall S. Hiller, "International Arbitrage Pricing, Risk Premia and Exchange Rate Drift." Working paper 92-019, Harvard Business School, September 1991.
Cochrane, John H., "A Cross-Sectional Test of a Investment-Based Asset Pricing Model." Journal of Political Economy 104 (June 1996): 572-621.
Coggin, T. Daniel and John E. Hunter, "A Meta-Analysis of Pricing 'Risk' Factors in APT." Journal of Portfolio Management 14 (Fall 1987): 35-38.
Cohen, Kalman J. and Jerry A. Pogue, "An Empirical Evaluation of Alternative Portfolio-Selection Models." Journal of Business 40 (April 1967): 166-193.
Connor, Gregory, "Asset Pricing Theory in Factor Economies." Ph.D. dissertation, Yale University, 1982.
Connor, Gregory, "A Unified Beta Pricing Theory." Journal of Economic Theory 34 (1984): 13-31.
Connor, Gregory, "Intertemporal Analysis with the Arbitrage Pricing Theory," Australian Journal of Management, 10 (1985).
Connor, Gregory, "Notes on the Arbitrage Pricing Theory." In S. Bhattacharya and G. M. Constantinides (eds.) Theory of Valuation: Frontiers of Modern Financial Theory, Vol. 1, Totowa, NJ: Rowman & Littlefield, 1989.
Connor, Gregory, "Three Types of Factor Models: A Comparison of Their Explanatory Power." Financial Analysts Journal 51 (May/June 1995): 42-46.
Connor, Gregory, “A Nonlinear Characteristic-based Factor Model of Common Stock Returns.” Working paper, London School of Economics, May 1999.
Connor, Gregory and Robert A. Korajczyk, "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis." Journal of Financial Economics 15 (March 1986): 373-394.
Connor, Gregory and Robert A. Korajczyk, "Risk and Return in an Equilibrium APT: Application of a New Test Methodology." Journal of Financial Economics 21 (September 1988a): 255-289.
Connor, Gregory and Robert A. Korajczyk, "Estimating Pervasive Economic Factors with Missing Observations." Working Paper No. 34, Department of Finance, Northwestern University, May 1988b.
Connor, Gregory and Robert A. Korajczyk, "An Intertemporal Equilibrium Beta Pricing Model." Review of Financial Studies 2 (1989): 373-392.
Connor, Gregory and Robert A. Korajczyk, "The Attributes, Behavior, and Performance of U.S. Mutual Funds." Review of Quantitative Finance and Accounting 1 (January 1991): 5-26.
Connor, Gregory and Robert A. Korajczyk, "A Test for the Number of Factors in an Approximate Factor Model." Journal of Finance 48 (September 1993): 1263-1291.
Connor, Gregory and Robert A. Korajczyk, "The Arbitrage Pricing Theory and Multifactor Models of Asset Returns." Chapter 4 of Finance, Handbooks in Operations Research and Management Science, Volume 9, edited by R. Jarrow, V. Maksimovic, and W. Ziemba. Amsterdam: North Holland, 1995.
Connor, Gregory and Robert A. Korajczyk, "Factor Models of Asset Returns." In Encyclopedia of Quantitative Finance, edited by Rama Cont, Wiley, 2010.
Connor, Gregory and Robert A. Korajczyk, “Factor Models in Portfolio and Asset Pricing Theory." In Handbook of Portfolio Construction: Contemporary Applications of Markowitz Techniques, edited by John Guerard, London: Springer, 2010.
Connor, Gregory, Robert A. Korajczyk, and Oliver Linton,“The Common and Specific Components of Dynamic Volatility.” Journal of Econometrics 132 (May 2006): 231-255 .
Connor, Gregory, Robert A. Korajczyk, and Robert Uhlaner, "A Synthesis of Two Factor Estimation Metrhods." Journal of Financial and Quantitative Analysis 50 (August 2015): 825-842.
Connor, Gregory and Robert Uhlaner, "New Cross-Sectional Regression Tests of Beta Pricing Models." Working Paper, School of Business Administration, University of California, Berkeley, August 1988.
Constantinides, George M., "Theory of Valuation: Overview and Recent Developments." In S. Bhattacharya and G. M. Constantinides (eds.) Theory of Valuation: Frontiers of Modern Financial Theory, Vol. 1, Totowa, NJ: Rowman & Littlefield, 1989.
Conway, Delores A. and Marc R. Reinganum, "Stable Factors in Security Returns: Identification Through Cross Validation." Journal of Business & Economic Statistics 6 (January 1988): 1-15.
Cosset, Jean-Claude, "On the Presence of Risk Premiums in Foreign Exchange Markets." Journal of International Economics 16 (1984): 139-154.
Cragg, John G. and Stephen G. Donald, "Testing and Determining Arbitrage Pricing Structure from Regressions on Macro Variables" Working paper, University of British Columbia, 1992.
Cragg, John G. and Burton G. Malkiel, Expectations and the Structure of Share Prices. Chicago: University of Chicago Press, 1982.
Da, Zhi and Ernst Schaumburg, “The Factor Structure of Realized Volatility and its Implications for Option Pricing.” Working paper, Northwestern University, November 2006.
Demos, Antonis, and Enrique Sentana, "An EM Algorithm for Conditionally Heteroskedastic Factor Models." Journal of Business & Economic Statistics 16 (July 1998): 357-361.
Dhrymes, Phoebus J., "The Empirical Relevance of Arbitrage Pricing Models." Journal of Portfolio Management 11 (Summer 1984): 90-107.
Dhrymes, Phoebus J., Irwin Friend, Mustafa N. Gültekin, and N. Bulent Gültekin, "New Tests of the APT and Their Implications." Journal of Finance 40 (July 1985): 659-674.
Dhrymes, Phoebus J., Irwin Friend, and N. Bulent Gültekin, "A Critical Reexamination of the Empirical Evidence on the Arbitrage Pricing Theory." Journal of Finance 39 (June 1984): 323-346.
Dhrymes, Phoebus J., Irwin Friend, N. Bulent Gültekin, and Mustafa N. Gültekin, "An Empirical Examination of the Implications of Arbitrage Pricing Theory." Journal of Banking and Finance 9 (March 1985): 73-99.
Diacogiannis, George P., "Arbitrage Pricing Model: A Critical Examination of its Empirical Applicability for the London Stock Exchange." Journal of Business Finance & Accounting 13 (Winter 1986): 489-504.
Dominguez, Kathryn M., "The Pricing of Foreign Exchange Risk in the Stock Market: A Test for International Economic Interdependence." Dicussion paper #164D, Kennedy School, Harvard University, February 1988.
Dumontier, Pascal, "Le Modèle d'Evaluation par Arbitrage des Actifs Financiers: Une Etude sur le Marché Financier Parisien." Finance 7 (1986): 7-21.
Dybvig, Philip H., "An Explicit bound on Deviations from APT Pricing in a Finite Economy." Journal of Financial Economics 12 (December 1983): 483-496.
Dybvig, Philip H. and Stephen A. Ross, "Yes, the APT is Testable." Journal of Finance 40 (September 1985): 1173-1188.
Dybvig, Philip H. and Stephen A. Ross, "Arbitrage." In J. Eatwell, M. Milgate, and P. Newman (eds.) The New Palgrave: Finance. New York: Norton, 1989.
Eichholtz, Piet M. A. and Ronald J. Mahieu, " International Arbitrage Pricing with Unrestricted Currency Factors. " Working Paper #94-21 Limburg Institute of Financial Economics, August 1994.
Ehrhardt, Michael C., "A Mean-Variance Derivation of a Multi-Factor Equilibrium Model." Journal of Financial and Quantitive Analysis 22 (June 1987): 227-236.
Ehrhardt, Michael C., "Arbitrage Pricing Models: The Sufficient Number of Factors and Equilibrium Conditions." Journal of Financial Research 10 (Summer 1987): 111-120.
Elton, Edwin J. and Martin J. Gruber, "Estimating the Dependence Structure of Share Prices - Implications for Portfolio Selection.” Journal of Finance 28 (December 1973): 1203-1232.
Elton, Edwin J. and Martin J. Gruber, "Portfolio Analysis with a Nonnormal Multi-Index Return-Generating Process." Review of Quantitative Finance and Accounting 2 (March 1992): 5-16.
Elton, Edwin J. and Martin J. Gruber, "Multi-Index Models Using Simultaneous Estimation of all Parameters." In A Practitioner’s Guide to Factor Models, Charlottesville: The Research Foundation of the Institute of Chartered Financial Analysts, 1994.
Elton, Edwin J., Martin J. Gruber, and Christopher Blake, "Fundamental Economic Variables, Expected Returns, and Bond Fund Performance." Journal of Finance 50 (September 1995): 1229-1256.
Elton, Edwin J., Martin J. Gruber, and Jianping Mei, "Cost of Capital Using Arbitrage Pricing Theory: A Case Study of Nine New York Utilities.” Financial Markets, Institutions & Instruments 3 (August 1994): 46-73.
Elton, Edwin J., Martin J. Gruber, and Manfred W. Padberg, "Simple Criteria for Optimal Portfolio Selection: The Multi-Index Case." In E. J. Elton and M. J. Gruber (eds.) Portfolio Theory, 25 Years After: Essays in Honor of Harry Markowitz. Amsterdam: North-Holland, 1979.
Elton, Edwin J., Martin J. Gruber, and Joel Rentzler, "The Arbitrage Pricing Model and Returns on Assets Under Uncertain Inflation." Journal of Finance 38 (May 1983): 525-538.
Engle, Robert F., Victor K. Ng, and Michael Rothschild, "Asset Pricing with a Factor-ARCH Covariance Structure: Empirical Estimates for Treasury Bills." Journal of Econometrics 45 (1990): 213-237.
Faff, Robert W. “A Multivariate Test of an Equilibrium APT with Time Varying Risk Premia in the Australian Equity Market.” Australian Journal of Management 17 (December 1992): 233-258.
Fama, Eugene F., "Multifactor Portfolio Efficiency and Multifactor Asset Pricing." Journal of Financial and Quantitative Analysis 31 (December 1996): 441-465.
Fama, Eugene F., "Determining the Number of Priced State Variables in the ICAPM." Journal of Financial and Quantitative Analysis 33 (June 1998): 217-231.
Fama, Eugene F. and Kenneth R. French, "The Cross-Section of Expected Stock Returns." Journal of Finance 47 (June 1992): 427-465.
Fama, Eugene F. and Kenneth R. French, "Common Risk Factors in the Returns on Stocks and Bonds." Journal of Financial Economics 33 (February 1993): 3-56.
Fama, Eugene F. and Kenneth R. French, "Multi-Factor Explanations of Asset Pricing Anomalies." Journal of Finance 51 (March 1996): 55-84.
Fama, Eugene F. and Kenneth R. French, "Industry Costs of Equity." Journal of Financial Economics 43 (February 1997): 153-193.
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Ferson, Wayne E., "Asset Pricing Models." Working paper 351, Center for Research in Security Prices, University of Chicago, January 1992. Forthcoming in Douglas Greenwald (ed.) The Encyclopedia of Economics. New York: McGraw-Hill.
Ferson, Wayne E., "Theory and Empirical Testing of Asset Pricing Models." Chapter 5 of Finance, Handbooks in Operations Research and Management Science, Volume 9, edited by R. Jarrow, V. Maksimovic, and W. Ziemba. Amsterdam: North Holland, 1995.
Ferson, Wayne E. and Campbell R. Harvey, "The Variation of Economic Risk Premiums." Journal of Political Economy 99 (April 1991a): 385-415.
Ferson, Wayne E. and Campbell R. Harvey, "Sources of Predictability in Portfolio Returns." Financial Analysts Journal 47 (May/June 1991b): 49-56.
Ferson, Wayne E., and Campbell R. Harvey. "Explaining the Predictability of Asset Returns." In A. Chen (ed.), Research in Finance. JAI Press, 1995.
Ferson, Wayne E. and Campbell R. Harvey, "Fundamental Determinants of National Equity Market Returns: A Perspective on Conditional Asset Pricing." Journal of Banking & Finance 21 (1998): 1625-1665.
Ferson, Wayne E. and Robert A. Korajczyk, "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?" Journal of Business 68 (July 1995): 309-349.
Fogler, H. Russell, "Common Sense on CAPM, APT, and Correlated Residuals." Journal of Portfolio Management (Summer 1982): 20-28.
Fogler, H. Russell, "Common Stock Management in the 1990s." Journal of Portfolio Management (Winter 1990): 26-35.
Fogler, H. Russell, Kose John, and James Tipton, "Three Factors, Interest Rate Differentials and Stock Groups." Journal of Finance 36 (May 1981): 323-335.
Friend, Irwin, "Discussion." Journal of Finance 36 (May 1981): 350-352.
Frohlich, C. J., "A Performance Measure for Mutual Funds Using the Connor-Korajczyk Methodology: An Empirical Study." Review of Quantitative Finance and Accounting 1 (1991): 427-434.
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Gehr, Adam K. Jr., "Risk-Adjusted Capital Budgeting Using Arbitrage." Financial Management (1981): 14-19.
Geweke, John and Guofu Zhou, "Measuring the Pricing Error of the Arbitrage Pricing Theory." Review of Financial Studies 9 (Summer 1996): 557-587.
Ghysels, Eric, “On Stable Factor Structures in the Pricing of Risk: Do Time-Varying Betas Help or Hurt?” Journal of Finance 53 (April 1998): 549-573.
Gibbons, Michael R., "Empirical Examination of the Return Generating Process of the Arbitrage Pricing Theory." Research Paper #881, Graduate School of Business, Stanford University, May 1986.
Gilles, Christian, and Stephen F. LeRoy, "The Arbitrage Pricing Theory: A Geometric Interpretation." Working paper, Carleton University, August 1990.
Gilles, Christian, and Stephen F. LeRoy, "On the Arbitrage Pricing Theory." Economic Theory 1 (July 1991): 213-229.
Gourieroux, C., A. Monfort, and E. Renault, "A General Framework for Factor Models." Working paper, CREST, March 1991.
Green, Richard C. and Burton Hollifield, "When Will Mean-Variance Portfolios be Well Diversified?" Forthcoming, Journal of Finance 47 (December 1992).
Grinblatt, Mark and Sheridan Titman, "Factor Pricing in a Finite Economy." Journal of Financial Economics 12 (December 1983): 497-507.
Grinblatt, Mark and Sheridan Titman, "Approximate Factor Structures: Interpretations and Implications for Empirical Tests." Journal of Finance 40 (December 1985): 1367-1373.
Grinblatt, Mark and Sheridan Titman, "The Relation between Mean-Variance Efficiency and Arbitrage Pricing." Journal of Business 60 (January 1987): 97-112.
Grinold, Richard and Ronald Kahn, "Multiple-Factor Models for Portfolio Risk." In A Practitioner’s Guide to Factor Models, Charlottesville: The Research Foundation of the Institute of Chartered Financial Analysts, 1994.
Grinold, Richard, Andrew Rudd, and Dan Stefek, "Global Factors: Fact or Fiction?" Journal of Portfolio Management 16 (Fall 1989): 79-88.
Grissom, Terry V., David Hartzell, and Crocker H. Liu, "An Approach to Industrial Real Estate Market Segmentation and Valuation Using the Arbitrage Pricing Paradigm." AREUEA Journal 15 (Fall 1987): 199-219.
Guerard, J.B., Jr. and A. Mark, "The Optimization of Efficient Portfolios: The Case for an R&D Quadratic Term." Research in Finance 20 (2003): 213-247.
Guerard, J.B., Jr. S. T. Rachev, and B. P. Shao, "Efficient Global Portfolios: Big Data and Investment Universes." IBM Journal of Research & Deleopment 57 (2013): 1-11.
Gültekin, Mustafa and N. Bulent Gültekin, "Stock Return Anomalies and Tests of the APT." Journal of Finance 42 (December 1987): 1213-1224.
Gültekin, Mustafa N., N. Bulent Gültekin, and Alessandro Penati, "Capital Controls and International Capital Market Segmentation: The Evidence from the Japanese and American Stock Markets." Journal of Finance 44 (September 1989): 849-869.
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