Arbitrage Pricing [15] and King[22], for example, employed factor analytic methods. Their work focused on industry influences and was pure(and very worthwhile)empiricism Since the aPT was not available to predict the cross-sectional effects of industry actors on expected returns, no tests were conducted for the presence of such More recently, Rosenberg and Marathe [44] have analyzed what they term extra-market"components of return. They find unequivocal empirical support for the presence of such components. Rosenberg and Marathe's work employs extraneous"descriptor variables to predict intertemporal changes in the CAPM's parameters. They state that"the appropriateness of the multiple-factor model of security returns, with loadings eq ual to predetermined descriptors, as opposed to a single-factor or market model, is conclusively demonstrated"(p 100).But,they do not ascertain the separate influences of these multiple factors on individual expected returns, and focus instead on a combined influence working through the market portfolio. In other words, they assume the CAPM and decompose the single market beta into its constitutent parts. Regarding the market portfolio as a construct which captures the influences of many factors follows the theoretical ideas in Rosenberg [45] and Sharpe [52] Thus, Rosenberg and Marathe 's work does not provide a definitive test of the APT There are a number of other recent papers which are more or less related to In contain evidence of more than just a single market factor influencing returns. In contrast, Kryzanowski and To [24] give a formal test for the presence of additional factors but find"that only the first factor is non-trivial"(p. 23) Nevertheless, there seems to be enough evidence in past empirical work to conclude that there may exist multiple factors in the returns generating processes of assets. The aPt provides a solid theoretical framework for ascertaining hether those factors, if they exist, are "priced, "i. e, are associated with risk premia. The purpose of our paper is to use the APT framework to investigate both the existence and the pricing questions In the following section, (1), a more complete discussion of the unique testable features of the aPT is provided. Then section II gives our basic tests. It concludes that three factors are definitely present in the"prices"(actually in the expected returns)of equities traded on the New York and American Exchanges. A fourth factor may be present also but the evidence there is less conclusive Sections III and IV present two additional tests of the APT. The most mportant and powerful is in section Ill, where the APT is compared against a specific alternative hypothesis that"own"variance influences expected returns If the apt is true, theown"variance should not be important, even though its sample value is known to be highly correlated cross-sectionally with sample mean returns. We find that the"own"variance's sample influence arises spuriously from skewness in the returns distribution. In section IV, we present a test of the consistency of the APT across groups of assets. Although the power of this test is probably weak, it gives no indication whatsoever of differences among groups