As with the CAPM, the factor-specific betas are found via a linear regression of historical security returns on the factor in question. Unlike the CAPM, the APT, however, does not itself reveal the identity of its priced factors - the number and nature of these factors is likely to change over time and between economies. As a result, this issue is essentially empirical in nature. Several A priori and a posteriori (philosophy)|a priori guidelines as to the characteristics required of potential factors are, however, suggested:
- their impact on asset prices manifests in their unexpected movements
- they should represent undiversifiable influences (these are, clearly, more likely to be macroeconomic rather than firm-specific in nature)
- timely and accurate information on these variables is required
- the relationship should be theoretically justifiable on economic grounds
Chen, Richard Roll|Roll and Stephen Ross (economist)|Ross (1986) identified the following macro-economic factors as significant in explaining security returns:
- surprises in inflation;
- surprises in GNP as indicated by an industrial production index;
- surprises in investor confidence due to changes in default premium in corporate bonds;
- surprise shifts in the yield curve.
As a practical matter, indices or spot or futures market prices may be used in place of macro-economic factors, which are reported at low frequency (e.g. monthly) and often with significant estimation errors. Market indices are sometimes derived by means of factor analysis. More direct "indices" that might be used are:
- short term interest rates;
- the difference in long-term and short-term interest rates;
- a diversified stock index such as the S&P 500 or NYSE Composite Index;
- oil prices
- gold or other precious metal prices
- Currency exchange rates
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