Before revision: This paper re-investigates the estimation of multiple factor models relaxing the convention that the number of factors is smalland using a new approach for identifying factors .
After revision: The purpose of this paper is to test a multi-factor model for 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 factors is smalland using a new approach for identifying factors .