Too good to be true? Fallacies in evaluating risk factor models
Nikolay Gospodinov, Raymond Kan, Cesare Robotti
| Year of publication: |
2019
|
|---|---|
| Authors: | Gospodinov, Nikolaj ; Kan, Raymond ; Robotti, Cesare |
| Published in: |
Journal of financial economics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-405X, ZDB-ID 187118-3. - Vol. 132.2019, 2, p. 451-471
|
| Subject: | Asset pricing | Spurious risk factors | Unidentified models | Model misspecification | Maximum likelihood | Goodness of fit | Rank test | CAPM | Risiko | Risk | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis | Modellierung | Scientific modelling | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfineco.2018.10.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012136929