Non-nested tests of a GDP-augmented Fama–French model versus a conditional Fama–French model in the Australian stock market
Robert Faff; Philip Gharghori; Annette Nguyen
| Year of publication: |
2014
|
|---|---|
| Authors: | Faff, Robert W. ; Gharghori, Philip ; Nguyen, Annette |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 29.2014, p. 627-638
|
| Subject: | GDP growth | Fama–French model | Asset pricing | Australien | Australia | CAPM | Börsenkurs | Share price | ARCH-Modell | ARCH model | Schätzung | Estimation | Aktienmarkt | Stock market | Kapitaleinkommen | Capital income | Wirtschaftswachstum | Economic growth | Schätztheorie | Estimation theory |