Commonwealth Professor of Economics, University of Virginia, and Professor of Economics, Duke University, respectively. This research was supported by the National Science Foundation (SES-86–18403). Discussions with Bruce Lehmann and Peter Schmidt concerning Bartlett's small-sample adjustment were very helpful; we thank them without implication
Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory
Article first published online: 30 APR 2012
1988 The American Finance Association
The Journal of Finance
Volume 43, Issue 3, pages 721–733, July 1988
How to Cite
BURMEISTER, E. and McELROY, M. B. (1988), Joint Estimation of Factor Sensitivities and Risk Premia for the Arbitrage Pricing Theory. The Journal of Finance, 43: 721–733. doi: 10.1111/j.1540-6261.1988.tb04603.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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