The robustness of the APT to alternative estimators
The robustness of the APT to alternative estimators
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.
645-655
Clare, Andrew
fc55445a-531e-4a7c-9ca7-3f88eb43a664
Priestley, Richard
e10dad43-9176-4c5c-9e79-d3c49be7a08d
Thomas, Stephen
f5a5bfe7-9f05-4f81-83d0-14a623c9c14d
1997
Clare, Andrew
fc55445a-531e-4a7c-9ca7-3f88eb43a664
Priestley, Richard
e10dad43-9176-4c5c-9e79-d3c49be7a08d
Thomas, Stephen
f5a5bfe7-9f05-4f81-83d0-14a623c9c14d
Clare, Andrew, Priestley, Richard and Thomas, Stephen
(1997)
The robustness of the APT to alternative estimators.
Journal of Business Finance & Accounting, 24 (5), .
(doi:10.1111/1468-5957.00126).
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.
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Published date: 1997
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Local EPrints ID: 37376
URI: http://eprints.soton.ac.uk/id/eprint/37376
ISSN: 0306-686X
PURE UUID: 45c41e11-9a6a-4b1d-8962-25aac2c4c7b6
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Date deposited: 23 Apr 2007
Last modified: 15 Mar 2024 07:58
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Author:
Andrew Clare
Author:
Richard Priestley
Author:
Stephen Thomas
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