Similar Search Results

Nonparametric testing for anomaly effects in empirical asset pricing models

Jin, Sainan; Su, Liangjun; Zhang, Yonghui - In: Empirical economics : a journal of the Institute for … 48 (2015) 1, pp. 9-36

Persistent link: https://www.econbiz.de/10011285985

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

findings. Finally, we undertake an empirical investigation of α for the errors of the CAPM model and its Fama-French extensions …

Persistent link: https://www.econbiz.de/10011900761

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

Persistent link: https://www.econbiz.de/10012583496

Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence

Cai, Zongwu; Fang, Ying; Xu, Qiuhua - 2020

Persistent link: https://www.econbiz.de/10012312745

Testing over- and underidentification in linear models, with applications to dynamic panel data and asset-pricing models

Windmeijer, Frank - 2018

Persistent link: https://www.econbiz.de/10011943476

Factor strengths, pricing errors, and estimation of risk premia

Pesaran, M. Hashem; Smith, Ron - 2021

This paper examines the implications of pricing errors and factors that are not strong for the Fama-MacBeth two-pass estimator of risk premia and its asymptotic distribution when T is fixed with n → ∞, and when both n and T → ∞, jointly. While the literature just distinguishes strong and...

Persistent link: https://www.econbiz.de/10012486668