Testing CAPM with a Large Number of Assets
Year of publication: |
2012-02
|
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Authors: | Pesaran, M Hashem ; Yamagata, Takashi |
Institutions: | Department of Economics and Related Studies, University of York |
Subject: | CAPM | Testing for alpha | Market e¢ ciency | Long/short equity returns | Large panels | Weak and strong cross-sectional dependence |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; G11 - Portfolio Choice ; G12 - Asset Pricing |
Source: |
-
Testing CAPM with a large number of assets
Pesaran, Hashem, (2012)
-
Testing CAPM with a Large Number of Assets (Updated 28th March 2012)
Pesaran, M. H., (2012)
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Testing CAPM with a Large Number of Assets
Pesaran, M. Hashem, (2012)
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