An intertemporal equilibrium beta pricing model

Connor, Gregory and Korajczyk, Robert (1989) An intertemporal equilibrium beta pricing model. Review of Financial Studies, 2 (3). pp. 373-392. ISSN 0893-9454

[img] Download (881kB)

Share your research

Twitter Facebook LinkedIn GooglePlus Email more...

Add this article to your Mendeley library


This article develops an intertemporal, discrete-time, competitive equilibrium version of the arbitrage pricing theory, (APT) and explores the econometric implications of this model under various restrictions on investor preferences and on the dynamic behaviour of dividends. We describe conditions under which the econometric technique typically used for estimating and testing the APT can be shown to be consistent with our economic model. We relate our intertemporal version of the APT to the static APT and to Merton's intertemporal capital asset pricing model.

Item Type: Article
Keywords: intertemporal equilibrium; beta pricing model;
Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
Item ID: 3535
Depositing User: Gregory Connor
Date Deposited: 14 Mar 2012 14:47
Journal or Publication Title: Review of Financial Studies
Publisher: Oxford University Press
Refereed: Yes

Repository Staff Only(login required)

View Item Item control page

Document Downloads

More statistics for this item...