PT  - JOURNAL ARTICLE
AU  - Edwin J. Elton
AU  - Martin J. Gruber
TI  - The Impact of Ross’s Exploration of APT on Our Research
AID  - 10.3905/jpm.2018.44.6.098
DP  - 2018 Jun 30
TA  - The Journal of Portfolio Management
PG  - 98--107
VI  - 44
IP  - 6
4099  - https://pm-research.com/content/44/6/98.short
4100  - https://pm-research.com/content/44/6/98.full
AB  - Stephen A. Ross’s research has had a major impact on the theory and practice of financial economics. In this article, the authors concentrate on one of his contributions: arbitrage pricing theory (APT). After reviewing the theory, they discuss Ross’s contribution to their research. In particular, they review research on the number of factors present in the return-generating process and in expected returns, the use of macroeconomic variables in the APT setting, and implications of APT for the performance and performance predictability of mutual funds.TOPICS: Portfolio theory, quantitative methods, mutual fund performance