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Instability of Factor Strength in Asset Returns

Massacci, Daniele - 2022

We study the problem of detecting structural instability of factor strength in asset pricing models for financial returns. We allow for strong and weaker factors, in which the sum of squared betas grows at a rate equal to and slower than the number of test assets, respectively: this growth rate...

Persistent link: https://www.econbiz.de/10013311483

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

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

Persistent link: https://www.econbiz.de/10001731828

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

Beaulieu, Marie-Claude; Dufour, Jean-Marie; 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/10011431982

Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach

Beaulieu, Marie-Claude - 2016

Persistent link: https://www.econbiz.de/10012991257

Predictability hidden by anomalous observations

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2013 - This version: March 2013

Persistent link: https://www.econbiz.de/10010221576

Testing the White Noise Hypothesis of Stock Returns

Hill, Jonathan B. - 2018

white noise tests assisted by Shao's (2011) blockwise wild bootstrap. We reveal that, in rolling windows, the block …

Persistent link: https://www.econbiz.de/10012933511

Testing for Return Predictability with Co-Moving Predictors of Unknown Form

Xu, Ke-Li - 2018

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single predictor. We consider the predictive regression model with multiple predictors which are potentially strongly persistent and cointegrated. Instrumental variables based tests for...

Persistent link: https://www.econbiz.de/10012919518

Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators

Vigo Pereira, Caio - 2020

We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolio efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family present some optimal statistical properties, such as robustness to misspecification and better...

Persistent link: https://www.econbiz.de/10012848570

News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach

Erdemlioglu, Deniz; Yang, Xiye - 2022

This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach exploits the behavior of a time-varying stochastic intensity and allows us to assess how intensely stock market reacts to news. We describe the asymptotic properties of our...

Persistent link: https://www.econbiz.de/10013406297

Option-implied term structures

Vogt, Erik - 2014

The illiquidity of long-maturity options has made it difficult to study the term structures of option spanning portfolios. This paper proposes a new estimation and inference framework for these option-implied term structures that addresses long-maturity illiquidity. By building a sieve estimator...

Persistent link: https://www.econbiz.de/10010459730