Abstract

We examine the consistency of several prominent multifactor models from the empirical asset pricing literature with the arbitrage pricing theory (APT) framework. We follow the APT-related literature and estimate the common factor structure from a rich cross-section (associated with 42 major CAPM anomalies) by employing the asymptotic principal components method. Our benchmark model contains six statistical factors and clearly dominates, in both economic and statistical terms, most of the empirical multifactor models proposed in the literature by a good margin. These results represent a critical challenge to the current workhorse models in terms of explaining large-scale equity risk premiums. (JEL G10, G12)Received December 27, 2019; editorial decision October 20, 2020 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

中文翻译：

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多因素模型及其与APT的一致性

摘要

我们从经验资产定价文献与套利定价理论（APT）框架中检验了几个杰出的多因素模型的一致性。我们遵循APT的相关文献，并通过采用渐近主成分法从丰富的横截面（与42个主要的CAPM异常相关）中估计公因子结构。我们的基准模型包含六个统计因素，并且在经济和统计方面都明显地主导了文献中提出的大多数经验多因素模型。就解释大规模股票风险溢价而言，这些结果对当前的主力模型提出了严峻的挑战。（JELG10，G12）于2019年12月27日收到; 编辑决定由蒂埃里·福柯（Thierry Foucault）于2020年10月20日作出。作者提供了一个Internet附录，该附录可以在牛津大学出版社的网站上找到，也可以在线链接到最终发表的论文。