Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory
提出一种包含可观测和不可观测宏观经济因子的多元回归模型，用非线性三阶段最小二乘法处理内生性，发现忽略内生性会导致估计偏差，并检验了CAPM与APT的适用性。
ABSTRACT The APT is represented as a multivariate regression model with across‐equations restrictions. Both observed and unobserved (latent) macroeconomic factors are included, thus generalizing and unifying two previous strands of literature. Large portfolios representing unobserved factors are treated as endogenous, and nonlinear 3SLS estimates are shown to differ sharply from estimates that ignore this endogeneity. Using monthly stock returns and six factors, we cannot reject January effects. The following results are invariant with respect to the inclusion of January effects: we reject the CAPM in favor of the APT; however, we cannot reject the APT restrictions on the linear factor model.