implications of this model under various restrictions on investor preferences and on the dynamic behavior ofdividends. We describe conditions under which the econometric techniques typically usedfor estimating and testing the APT can be shown to be consistent with our economic model. We relate our intertemporal version of the APT to the static APT and to Merton's intertemporal capital asset pricing model. We develop an intertemporal, discrete-time, competitive equilibrium version of Ross's arbitrage pricing theory (APT) and discuss the econometric content of this model under various restrictions on investor preferences and on the multivariate stochastic process determining dividends. We also discuss the distinctions between this model, the static APT, and the intertemporal capital asset pricing model (ICAPM) of Merton (1973). The key distinction from the static APT is that corporate dividends, rather than equity returns, are assumed to obey an approximate factor model. The factor model on equity returns as well as the APT restriction on asset expected returns is derived endogenously.