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. Copyright Blackwell Publishers Ltd 1997.

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Year of publication:	1997-06
Authors:	Clare, Andrew ; Priestley, Richard ; Thomas, Stephen
Published in:	Journal of Business Finance & Accounting. - Wiley Blackwell, ISSN 0306-686X. - Vol. 24.1997-06, 5, p. 645-655
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005161332