Testing CAPM with a Large Number of Assets
Year of publication: |
2012-04
|
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Authors: | Pesaran, M. Hashem ; Yamagata, Takashi |
Institutions: | Institute for the Study of Labor (IZA) |
Subject: | CAPM | testing for alpha | market efficiency | long/short equity returns | large panels | weak and strong cross-sectional dependence |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 6469 55 pages |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; G11 - Portfolio Choice ; G12 - Asset Pricing |
Source: |
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Testing CAPM with a large number of assets
Pesaran, Hashem, (2012)
-
Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
Pesaran, M. H., (2012)
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Testing CAPM with a Large Number of Assets
Pesaran, M Hashem, (2012)
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A Spatio-Temporal Model of House Prices in the US
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Panel Unit Root Tests in the Presence of a Multifactor Error Structure
Pesaran, M. Hashem, (2007)
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Panels with Nonstationary Multifactor Error Structures
Kapetanios, George, (2006)
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