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Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...

Persistent link: https://www.econbiz.de/10009535779

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

Persistent link: https://www.econbiz.de/10009535935

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

Persistent link: https://www.econbiz.de/10009580154

The use of recursive model selection strategies in forecasting stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1994

Persistent link: https://www.econbiz.de/10000924261

Estimation and inference for spatial models with heterogeneous coefficients : an application to U.S. house prices

Aquaro, Michele; Bailey, Natalia; Pesaran, M. Hashem - 2019

This paper considers the problem of identification, estimation and inference in the case of spatial panel data models … errors. A quasi maximum likelihood (QML) estimation procedure is developed and the conditions for identification of spatial …

Persistent link: https://www.econbiz.de/10011983664

Market timing and return prediction under model instability

Pesaran, M. Hashem; Timmermann, Allan - 2002

Persistent link: https://www.econbiz.de/10001662209

Model instability and choice of observation window

Pesaran, M. Hashem; Timmermann, Allan - 1999

Persistent link: https://www.econbiz.de/10001412208

Exploring the international linkages of the euro area : a global VAR analysis

Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - 2005

VAR is estimated for 26 countries, the euro area being treated as a single economy. This paper proposes two important … the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the …

Persistent link: https://www.econbiz.de/10002746106

Firm heterogeneity and credit risk diversification

Hanson, Samuel G. (contributor); … - 2005

Persistent link: https://www.econbiz.de/10002636144

Variable selection and inference for multi-period forecasting problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2009

Persistent link: https://www.econbiz.de/10003814581