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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011657153
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011630054
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011646274
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
Persistent link: https://www.econbiz.de/10011670177
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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
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Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
Pesaran, M. H.; Yamagata, T. - Faculty of Economics, University of Cambridge - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to …>T</em>, of the return series. Two new tests of CAPM are proposed that exploit recent advances on the analysis of large panel data … September 1989-September 2011. Statistically significant evidence against Sharpe-Lintner CAPM is found mainly during the recent …
Persistent link: https://www.econbiz.de/10009651254
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Testing CAPM with a Large Number of Assets
Pesaran, M Hashem; Yamagata, Takashi - Department of Economics and Related Studies, University … - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … series. Two new tests of CAPM are proposed that exploit recent advances on the analysis of large panel data models, and are … period September 1989-September 2011. Statistically significant evidence against Sharpe-Lintner CAPM is found mainly during …
Persistent link: https://www.econbiz.de/10009493943
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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem; Yamagata, Takashi - Institute for the Study of Labor (IZA) - 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/10010550527
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Testing CAPM with a large number of assets
Pesaran, M. 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 … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …
Persistent link: https://www.econbiz.de/10009535779
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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem - 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/10013107698