The Robustness of the APT to Alternative Estimators
检验了套利定价理论对两种不同估计方法的敏感性，发现该理论对估计方法和股票收益因子结构的假设很敏感，这对资产定价模型的估计有启示。
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.