Do Assumptions About Factor Structure Matter in Empirical Tests of the APT?
利用伦敦证券交易所数据，检验因子结构假设对套利定价理论实证结果的影响，发现近似因子结构下六个因子有显著风险价格，而严格因子结构下则无，说明假设选择至关重要。
The effect of assumptions about factor structure on empirical tests of multifactor models such as the Arbitrage Pricing Policy Theory has received little attention in the literature. Using data on securities traded on the London Stock Exchange, we examine whether returns are best described by an approximate factor structure and whether assumptions about correlations across idiosyncratic returns have a significant impact on estimated prices of risk and their significance. Our findings suggest that returns are best described by an approximate factor structure and, if this is taken into account when empirically testing the APT, six factors carry significant prices of risk. However, if a strict factor structure is imposed, no factors carry significant prices of risk. These findings suggest that assumptions about factor structure matter in empirically testing the APT.