The Robustness of the APT to Alternative Estimators |
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| Authors: | Andrew Clare,Richard Priestley,& Stephen Thomas |
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| Affiliation: | ISMA Centre, University of Reading,;Department of Economics, Brunel University,;Department of Management, University of Southampton |
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| 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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| Keywords: | APT one-step estimation two-step estimation |
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