Portfolio overlapping bias in tests of the Fama-French three-factor model
Year of publication: |
June 2016
|
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Authors: | Tauscher, Kathrin ; Wallmeier, Martin |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 22.2016, 3, p. 367-393
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Subject: | Asset pricing | three-factor model | portfolio overlapping | size effect | value premium | Theorie | Theory | Portfolio-Management | Portfolio selection | CAPM | Kapitaleinkommen | Capital income |
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