APT and Multifactor Asset Pricing Models with Measured and Unobserved Factors: Theoretical and Econometric Issues*

An Empirical Investigation of the Arbitrage Pricing Theory

1980 • 1,152 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

Multivariate tests of financial models

1982 • 632 citations

Mean‐Variance Spanning

1987 • 564 citations

An exploratory investigation of the firm size effect

1985 • 531 citations

Some Empirical Tests of the Theory of Arbitrage Pricing

1983 • 369 citations

Mimicking Portfolios and Exact Arbitrage Pricing

1987 • 204 citations

Arbitrage Pricing Theory as a Restricted Nonlinear Multivariate Regression Model Iterated Nonlinear Seemingly Unrelated Regression Estimates

1988 • 146 citations

THE ARBITRAGE PRICING THEORY AND MACROECONOMIC FACTOR MEASURES

1986 • 120 citations

Sorting Out Risks Using Known APT Factors

1988 • 117 citations

Two estimators for the apt model when factors are measured

1985 • 59 citations