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The Robustness of the APT to Alternative Estimators

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  • Andrew Clare
  • Richard Priestley
  • Stephen Thomas

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.

Suggested Citation

  • Andrew Clare & Richard Priestley & Stephen Thomas, 1997. "The Robustness of the APT to Alternative Estimators," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 24(5), pages 645-655, June.
    • Handle: RePEc:bla:jbfnac:v:24:y:1997:i:5:p:645-655
    DOI: 10.1111/1468-5957.00126
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    Cited by:

    1. Costas M. Stephanou & Gawie S. du Toit & Marius J. Maritz, 2003. "The Release of Nelson Mandela: Effect on the Johannesburg Securities Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 153-175, September.
    2. Padrón, Yaiza García & Boza, Juan García, 2006. "Which are the Risk Factors in the Pricing of Personal Pension in Spain?," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 60(2), November.

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