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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 … multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a …
Persistent link: https://www.econbiz.de/10011431982
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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 … multivariate GARCH and multivariate generalization of the well known variance ratio tests) and goodness of fit tests as well as a …
Persistent link: https://www.econbiz.de/10001731828
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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
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Identification-Robust Estimation and Testing of the Zero-Beta CAPM
Beaulieu, Marie-Claude - 2011
, which are robust to weak identification and allow for non-Gaussian distributions including parametric GARCH structures. In …
Persistent link: https://www.econbiz.de/10013130243
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Identification-robust estimation and testing of the zero-beta CAPM
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - In: The review of economic studies 80 (2013) 3, pp. 892-924
Persistent link: https://www.econbiz.de/10010204244
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Linda - 2020
Persistent link: https://www.econbiz.de/10012319222
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Arbitrage pricing, weak beta, strong beta : identification-robust and simultaneous inference
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2020
Persistent link: https://www.econbiz.de/10012220505
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Testing Linear Factor Pricing Models with Individual Securities in Japan : Application of Shrinkage Estimation
Oishi, Ryohei - 2018
This study proposes a multivariate test for linear factor asset pricing models when the number of assets, N, is larger than the time dimension of returns, T. We extend the exact test proposed by Gibbons et al. (1989) to obtain a nonsingular covariance matrix with fewer estimation errors in the...
Persistent link: https://www.econbiz.de/10012929115
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Event Study Analysis with Time-Varying Alphas, Betas and Variances : The Case of M&As
Irani, Mohammad (Vahid) - 2020
This paper proposes a new approach to control the effects of time-varying parameters on the estimates of abnormal returns. Event studies usually assume that the parameters of the market model are stable. Using a sample of firm takeovers, however, I find that this assumption is indeed rejected....
Persistent link: https://www.econbiz.de/10012854703
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Risk Premium Estimation with Multicollinear and Invariant Betas by the Two-Pass Cross-Sectional Regressions
Ahn, Seung C. - 2011
This paper analyzes the finite-sample performance of the two-pass (TP) estimators of factor risk prices when betas have high cross-sectional correlations (Multicollinear) and when betas have small cross-sectional variations (Invariant). Our Monte Carlo simulations, calibrated using actual...
Persistent link: https://www.econbiz.de/10013133797