The Robustness of the APT to Alternative Estimators

Andrew Clare, Richard Priestley and Stephen Thomas

Journal of Business Finance & Accounting, 1997, vol. 24, issue 5, 645-655

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.

Date: 1997
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1111/1468-5957.00126

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jbfnac:v:24:y:1997:i:5:p:645-655

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0306-686X

Access Statistics for this article

Journal of Business Finance & Accounting is currently edited by P. F. Pope, A. W. Stark and M. Walker

More articles in Journal of Business Finance & Accounting from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().