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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), pp. 645-655. (doi:10.1111/1468-5957.00126).

Record type: Article


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


Local EPrints ID: 37376
ISSN: 0306-686X
PURE UUID: 45c41e11-9a6a-4b1d-8962-25aac2c4c7b6

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Date deposited: 23 Apr 2007
Last modified: 17 Jul 2017 15:42

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Author: Andrew Clare
Author: Richard Priestley
Author: Stephen Thomas

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