The APT model as reduced-rank regression

P.A. Bekker, P. Dobbelstein, T.J. Wansbeek

Onderzoeksoutput: ArticleAcademicpeer review

5 Citaten (Scopus)


Integrating the two steps of an arbitrage pricing theory (APT) model leads to a reduced-rank regression (RRR) model. So the results on RRR can be used to estimate APT models, making estimation very simple. We give a succinct derivation of estimation of RRR, derive the asymptotic variance of RRR estimators for a general case, and discuss how undersized samples (more assets than time periods) can be dealt with.

Originele taal-2English
Pagina's (van-tot)199 - 202
Aantal pagina's4
TijdschriftJournal of Business & Economic Statistics
Nummer van het tijdschrift2
StatusPublished - apr.-1996

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