Before revision: The purpose of this paper is to test a multi-factor modelfor realized returns implied by the generalized arbitrage pricing theory (APT) recently developed by Jarrow and Protter (2016) and Jarrow (2016). This model relaxes the convention that the number of risk-factors is small.
After revision: The purpose of this paper is to test a multi-factor modelfor realized returns implied by the recently developed Generalized Arbitrage Pricing Theory, which relaxes the convention that the number of risk-factors is small.