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Alterntive tests for monotonicity in expected asset returns

Romano, Joseph P.; Wolf, Michael - 2011

Many postulated relations in finance imply that expected asset returns should monotonically increase in a certain characteristic. To examine the validity of such a claim, one typically considers a finite number of return categories, ordered according to the underlying characteristic. A standard...

Persistent link: https://www.econbiz.de/10010316938

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10010295747

The effect of government decisions on the efficiency of the investment funds market in Poland

Witkowska, Dorota; Kompa, Krzysztof; Mentel, Grzegorz - In: Journal of Business Economics and Management (JBEM) 20 (2019) 3, pp. 573-594

Polish government introduced crucial changes concerning conditions of the pension funds functioning in the years 2011-2014. This article focuses on explaining the impact of these political decisions on efficiency of investment fund market in Poland. Therefore, the article aims (1) to find out if...

Persistent link: https://www.econbiz.de/10015401270

The global financial crisis impact on stock market efficiency: a Fourier unit root tests analysis

Shaik, Muneer; Kamdar, Pratik; Nawaz, Nishad; Rabbani, … - In: Cogent Economics & Finance 12 (2024) 1, pp. 1-16

This study investigates how the Global Financial Crisis has affected the weak-form Efficient Market Hypothesis (EMH) on the stock prices of sixteen nations throughout the globe based on a suite of Fourier unit root tests. Considering the smooth structural breaks, we employed the Fourier-based...

Persistent link: https://www.econbiz.de/10015426068

How to implement the Bootstrap in Static or Stable Dynamic Regression Models

van Giersbergen, Noud P.A.; Kiviet, Jan F. - 2001

different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and …

Persistent link: https://www.econbiz.de/10010324912

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10011422182

Testing CAPM with a large number of assets

Pesaran, Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative …

Persistent link: https://www.econbiz.de/10010282392

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman R. - 2003

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with ?out-of-sample Granger causality?. In particular, it is often of interest to assess whether...

Persistent link: https://www.econbiz.de/10010263216

Testing directional forecast value in the presence of serial correlation

Blaskowitz, Oliver J.; Herwartz, Helmut - 2008

confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By …

Persistent link: https://www.econbiz.de/10010271838

Stock market reactions to Brexit: Case of selected CEE and SEE stock markets

Škrinjarić, Tihana - In: International Journal of Financial Studies 7 (2019) 1, pp. 1-14

The debate on the UK leaving the European Union is still hot and ongoing today due to many economic, political, social, and other consequences on many different countries over the world. This paper focuses on the reactions of selected Central and Eastern European (CEE) and South and Eastern...

Persistent link: https://www.econbiz.de/10011996156