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).

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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
ePrint ID: 37376
Date Deposited: 23 Apr 2007
Last Modified: 27 Mar 2014 18:23
URI: http://eprints.soton.ac.uk/id/eprint/37376

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