Tests of alternative asset pricing models using individual security returns and a new multivariate F-test
Year of publication: |
2019
|
---|---|
Authors: | Rahman, Shafiqur ; Schneider, Matthew J. |
Published in: |
Review of Pacific Basin financial markets and policies. - Hackensack, NJ [u.a.] : World Scientific, ISSN 0219-0915, ZDB-ID 1465471-4. - Vol. 22.2019, 1, p. 1950001-1-1950001-34
|
Subject: | Asset pricing | factor models | market portfolio | size | book-to-market | momentum | investment | profitability | liquidity risk | multivariate F-test | Theorie | Theory | CAPM | Kapitaleinkommen | Capital income | Portfolio-Management | Portfolio selection |
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