Journal of Economics and Finance

, Volume 22, Issue 2, pp 21–41

A comparative analysis of security pricing using factor, macrovariable and arbitrage pricing models

  • Suat Teker
  • Oscar Varela

DOI: 10.1007/BF02771474

Cite this article as:
Teker, S. & Varela, O. J Econ Finan (1998) 22: 21. doi:10.1007/BF02771474


This study compares and contrasts the single factor, three factor, macrovariable and APT models, using industry portfolios of all available firms on CRSP from 1980 to 1992. Comparatively, the APT is best, macrovariable second best and single factor model worse in pricing securities. Consistently, the market variable is cross sectionally priced in all models, and two of four APT factors capture the majority of variance in industry returns. In the latter case, factor three is ***DIRECT SUPPORT *** A00DH002 00002 consistently related to market returns, and factors two and three are also associated with risk premiums and exchange rates after 1987. Factor four is not related to any macrovariable, and term structure and production are never related to any risk factor.

Copyright information

© Springer 1998

Authors and Affiliations

  • Suat Teker
    • 1
  • Oscar Varela
    • 2
  1. 1.Faculty of ManagementIstanbul Technical UniversityIstanbulTurkey
  2. 2.Department of Economics and FinanceUniversity of New OrleansNew Orleans