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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011646274
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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10012955752
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Testing for Alpha in Linear Factor Pricing Models with a Large Number of Securities
Pesaran, M. Hashem - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10012959777
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
Persistent link: https://www.econbiz.de/10011670177
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
against Sharpe-Lintner CAPM and Fama-French three factor models are found mainly during the recent financial crisis. Also we …
Persistent link: https://www.econbiz.de/10011630054
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Arbitrage Pricing Theory, the Stochastic Discount Factor and Estimation of Risk Premia from Portfolios
Pesaran, M. Hashem; Smith, Ron - 2021
The arbitrage pricing theory (APT) attributes differences in expected returns to exposure to systematic risk factors …
Persistent link: https://www.econbiz.de/10013233142
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - In: Journal of financial econometrics 22 (2024) 2, pp. 407-460
Persistent link: https://www.econbiz.de/10014526327
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A generalisation of the non-parametric Henriksson-Merton test of market timing
Pesaran, M. Hashem; Timmermann, Allan - 1992
Persistent link: https://www.econbiz.de/10000850865
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A generalization of the non-parametric Henriksson-Merton test of market timing
Pesaran, M. Hashem - In: Economics letters 44 (1994) 1, pp. 1-7
Persistent link: https://www.econbiz.de/10001164053
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Forecasting stock returns : an examination of stock market trading in the presence of transaction costs
Pesaran, M. Hashem - In: Journal of forecasting 13 (1994) 4, pp. 335-367
Persistent link: https://www.econbiz.de/10001166232