search query: @author Priestley, R. / total: 8
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| Author: | Garrett, I. Priestley, R. |
| Title: | Do assumptions about factor structure matter in empirical test of APT |
| Journal: | Journal of Business Finance and Accounting
1997 : MAR, VOL. 24:2, p. 249-260 |
| Index terms: | MATHEMATICAL MODELS FACTOR ANALYSIS |
| Language: | eng |
| Abstract: | This study examines the role of assumptions about the form of factor structures in empirical testing of multifactor models such as the ATP that use observed macroeconomic variables as systematic risk factors. The study examines whether returns are best described by an approxiamate factor structure and whether assumptions about correlations across idiosyncratic returns have an impact on estimated prices of risk and their signifigance. The findings suggest that returns are best described by an approximate factor structure and six factors carry significant prices of risk. If a strict factor structure is imposed, no factors carry significant prices of risk. The findings suggest that assumptions about factor structure matter in empirically testing the APT. |
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