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Cumulant instrument estimators for hedge fund return models with errors in variables
Racicot, François-Éric; Théoret, Raymond - In: Applied economics 46 (2014) 10/12, pp. 1134-1149
Persistent link: https://www.econbiz.de/10010399380
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A new approach to estimating private returns to R&D
Cappelen, Ådne; Mohnen, Pierre A.; Raknerud, Arvid; … - 2023
This paper revisits the estimation of private returns to R&D. In an extension of the standard approach, we allow for … large panel of Norwegian firms observed in the period 2001-2018, we estimate the average private net return to be in the …
Persistent link: https://www.econbiz.de/10014335229
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Conditional financial models and the alpha puzzle : a panel study of hedge fund returns
Racicot, François-Éric; Théoret, Raymond - In: The journal of wealth management 11 (2008/09) 2, pp. 59-77
Persistent link: https://www.econbiz.de/10003816000
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A panel data robust instrumental variable approach : a test of the new Fama-French five-factor model
Racicot, François-Éric; Rentz, William F. - In: Applied economics letters 24 (2017) 4/6, pp. 410-416
Persistent link: https://www.econbiz.de/10011705366
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Application of asset pricing models : evidence from Saudi exchange
Salameh, Hussein Mohammad - In: Investment management and financial innovations 17 (2020) 1, pp. 348-368
Persistent link: https://www.econbiz.de/10012301327
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Multifactor consumption based asset pricing models using the US stock market as a reference : evidence from a panel of developed economies
Hunter, John; Wu, Feng - In: Economic modelling 36 (2014), pp. 557-565
Persistent link: https://www.econbiz.de/10010416359
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Conventional and downside CAPM with higher-order moments : evidence from emerging markets
Markowski, Lesław - In: Equilibrium : quarterly journal of economics and … 19 (2024) 1, pp. 93-138
Persistent link: https://www.econbiz.de/10014520437
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Testing Fama-French's new five-factor asset pricing model : evidence from robust instruments
Racicot, François-Éric; Rentz, William F. - In: Applied economics letters 23 (2016) 4/6, pp. 444-448
Persistent link: https://www.econbiz.de/10011430774
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Evaluating investments using higher moments
Diro Ejara, Demissew - In: Modern economy 7 (2016) 3, pp. 320-326
Persistent link: https://www.econbiz.de/10011548758
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Hedge fund performance under misspecified models
Ardia, David; Barras, Laurent; Gagliardini, Patrick; … - 2020 - This version: July 27, 2020
the CAPM, and (ii) produce large and positive alphas. In contrast, we observe a large and statistically significant …
Persistent link: https://www.econbiz.de/10012419384