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  • Search: subject:"Evaluation of Factor Models"
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Year of publication
Subject
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Beta Pricing Models 1 Beta pricing models 1 CAPM 1 Discounting 1 Diskontierung 1 Evaluation of Factor Models 1 Evaluation of factor models 1 Factor analysis 1 Faktorenanalyse 1 Pricing Errors 1 Pricing errors 1 Stochastic Discount Factor 1 Stochastic discount factor 1 Theorie 1 Theory 1
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Online availability
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Free 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Rubio, Gonzalo 2 Lozano, Martin 1 Lozano-Banda, Martín 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Journal of empirical finance 1 MPRA Paper 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Evaluating alternative methods for testing asset pricing models with historical data
Rubio, Gonzalo; Lozano, Martin - Volkswirtschaftliche Fakultät, … - 2009
We follow the correct Jagannathan and Wang (2002) framework for comparing the estimates and specification tests of the classical Beta and Stochastic Discount Factor/Generalized Method of Moments (SDF/GMM) methods. We extend previous studies by considering not only single but also multifactor...
Persistent link: https://www.econbiz.de/10008557279
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Cover Image
Evaluating alternative methods for testing asset pricing models with historical data
Lozano-Banda, Martín; Rubio, Gonzalo - In: Journal of empirical finance 18 (2011) 1, pp. 136-146
Persistent link: https://www.econbiz.de/10009301158
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