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March 1, 1984Journal of Financial and Quantitative Analysis

On the Robustness of the Roll and Ross Arbitrage Pricing Theory

D. Chinhyung Cho Edwin J. Elton Martin J. Gruber

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Abstract

D. Chinhyung Cho, Edwin J. Elton, Martin J. Gruber, On the Robustness of the Roll and Ross Arbitrage Pricing Theory, The Journal of Financial and Quantitative Analysis, Vol. 19, No. 1 (Mar., 1984), pp. 1-10

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Cho et al. (1984) studied this question.

synapsesocial.com/papers/6a836ce0102dbb3176604a36 https://doi.org/10.2307/2330997

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