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A note on factor analysis and arbitrage pricing theory |
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| Authors: | Adi Raveh |
| Institution: | The Hebrew University, Jerusalem, Israel |
| Abstract: | This paper examines some theoretical and empirical properties of factor analysis and spells out their implications for Arbitrage Pricing Theory (APT). Doubts on the appropriateness of conventional factor analytic procedures for testing APT are raised on theoretical as well as empirical grounds. |
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