Using an international Thomson Reuters Datastream database where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset pricing test results. We also...

Using an international Thompson Datastream database and standard asset pricing models we encounter pricing errors for the ten percent smallest stocks. We generalize the standard 4-factor model by adding two additional risk factors (one size- and one book-tomarket factor). This generalized...

Using an international Thomson Reuters Datastream database, where size coverage is unusually wide and data errors have been reduced to a low level, we show that some specification decisions, and especially those related to size, may have a significant impact on asset-pricing test results. We...

Traditionally, ordinary least square (OLS) regression methods are used to test asset pricing models. This study focuses on the use of quantile regression as an alternative approach to the analysis of risk and return distributions in quantitative finance. It empirically examines the behaviour of...