Behavioral Approach To Arbitrage Pricing Theory

In this paper, the author have examined the relation between expected returns and measures of systematic risk stemming from macroeconomic factors studied by Chen, Roll and Ross (1986, hereafter CRR) for a different time period (1978-2007) and different formation of portfolios (based on ME and BE/ME). Like CRR, the author has used a version of Fama and MacBeth's (1973) two-pass CrossSectional Regression (CSR) methodology. Apparently, changing the time period and formation of portfolio lead to noticeably different conclusions.