The robustness of the APT to alternative estimators
Clare, Andrew, Priestley, Richard and Thomas, Stephen (1997) The robustness of the APT to alternative estimators. Journal of Business Finance and Accounting, 24, (5), 645-655. (doi:10.1111/1468-5957.00126).
Download
Full text not available from this repository.
Original Publication URL: http://dx.doi.org/10.1111/1468-5957.00126
Description/Abstract
We test the robustness of the APT to two alternative estimation procedures: the Fama and MacBeth (1973) two-step methodology; and the one-step procedure due to Burmeister and McElroy (1988). We find that the APT is indeed sensitive to the chosen estimator and assumptions about the factor structure of stock returns. We believe that our findings have implications for the estimation of asset pricing models in general.
| Item Type: | Article |
|---|---|
| ISSNs: | 0306-686X (print) |
| Related URLs: | |
| Subjects: | H Social Sciences > HG Finance |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 37376 |
| Date Deposited: | 23 Apr 2007 |
| Last Modified: | 02 Mar 2012 12:05 |
| Contributors: | Clare, Andrew (Author) Priestley, Richard (Author) Thomas, Stephen (Author) |
| Date: | 1997 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/37376 |
Actions (login required)
 |
View Item |
