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Cited by 1,248

The DOI matches its Crossref record; 45 of the 45 references it cites were found in a registry or an index.

An Empirical Investigation of the Arbitrage Pricing Theory

ROLL, RICHARD, ROSS, STEPHEN A.·1980·The Journal of Finance
DOI 10.1111/j.1540-6261.1980.tb02197.x
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Abstract

Empirical tests are reported for Ross' [48] arbitrage theory of asset pricing. Using data for individual equities during the 1962–72 period, at least three and probably four priced factors are found in the generating process of returns. The theory is supported in that estimated expected returns depend on estimated factor loadings, and variables such as the own standard deviation, though highly correlated (simply) with estimated expected returns, do not add any further explanatory power to that of the factor loadings.

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Crossref · 10.1111/j.1540-6261.1980.tb02197.x

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Metadata

Authors
ROLL, R., & ROSS, S. A.
Venue
The Journal of Finance
Publisher
Wiley
Published
1980-12
Volume
35
Issue
5
Pages
1073-1103
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1980.tb02197.x
OpenAlex
W2120087808
Cited by
1,248
References
45
FWCI
39.79
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: An Empirical Investigation of the Arbitrage Pricing Theory. https://app.cochat.ai/papers/10.1111/j.1540-6261.1980.tb02197.x
The paper
ROLL, R., & ROSS, S. A. (1980). An Empirical Investigation of the Arbitrage Pricing Theory. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1980.tb02197.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.