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).

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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
Digital Object Identifier (DOI): doi:10.1111/1468-5957.00126
ISSNs: 0306-686X (print)
Subjects:
ePrint ID: 37376
Date :
Date Event
1997Published
Date Deposited: 23 Apr 2007
Last Modified: 16 Apr 2017 22:03
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/37376

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