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dc.contributor.author McElroy, Marjorie en_US
dc.contributor.author Burmeister, Edwin en_US
dc.date.accessioned 2010-03-09T15:27:57Z
dc.date.available 2010-03-09T15:27:57Z
dc.date.issued 1988 en_US
dc.identifier.uri http://hdl.handle.net/10161/1880
dc.description.abstract By replacing the unknown random factors of factor analysis with observed macroeconomic variables, the arbitrage pricing theory (APT) is recast as a multivariate nonlinear regression model with across-equation restrictions. An explicit theoretical justification for the inclusion of an arbitrary, well-diversified market index is given. Using monthly returns on 70 stocks, iterated nonlinear seemingly unrelated regression techniques are employed to obtain joint estimates of asset sensitivities and their associated APT risk “prices.” Without the assumption of normally distributed errors, these estimators are strongly consistent and asymptotically normal. With the additional assumption of normal errors, they are also full-information maximum likelihood estimators. Classical asymptotic nonlinear nested hypothesis tests are supportive of the APT with measured macroeconomic factors. en_US
dc.format.extent 376508 bytes
dc.format.mimetype application/pdf
dc.language.iso en_US
dc.publisher Journal of Business & Economic Statistics en_US
dc.subject Asset pricing models en_US
dc.subject Capital Asset Pricing Model en_US
dc.subject expected asset returns en_US
dc.subject linear factor model en_US
dc.subject macroeconomic factors en_US
dc.subject nonlinear seemingly unrelated regression en_US
dc.title Arbitrage pricing theory as a restricted nonlinear multivariate regression model: Iterated nonlinear seemingly unrelated regression estimates en_US
dc.type Journal Article en_US
dc.department Economics

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