Abstract
This paper examines the cross-sectional pricing equation of the APT using the elements of eigenvectors and the maximum likelihood factor loadings of the covariance matrix of returns as measures of risk.
Volume
45
Page
1541-1564
Year
1990
Categories
Actuarial Applications and Methodologies
Investments
Arbitrage Pricing Theory (APT);
Financial and Statistical Methods
Publications
Journal of Finance
